Expected Shortfall - calculation initial margin - KDPW_CCP

Expected Shortfall - calculation initial margin

In order to secure its exposure to credit risk, KDPW_CCP requires participants to post margins. The margining model used by KDPW_CCP ensures the quantification of risks arising from changes in the valuation of all types of cleared instruments.
 

KDPW_CCP Expected Shortfall parameters

Parameter Value
Confidence level 99,7%
Liquidation period 5 days
Observation window 10 years
Decay rate equal (all historical observations have the same weights)
Perturbation method - interest rates - additive method with scaling of the liquidation period
- FX rates - multiplicative method with scaling of the liquidation period
Absolute value no
Compensation yes, for a given product. The products are as follows: 
-  PLN interest rate derivatives
-  EUR interest rate derivatives 

The method of calculating margins and the rules of valuation of derivatives are laid down in: