Eurex margin flaws claimed in Swedish bank collapse case

CCP failed to properly capture vega, strike and wing risk, expert report claims

deutsche-borse-2016
Eurex margin model failed to capture vega risk, report claims

Weak margin models at Deutsche Börse-owned Eurex Clearing contributed to the 2010 collapse of Stockholm-based HQ Bank, according to documents filed by plaintiffs in an ongoing Swedish court case. The bank's trading business ran up losses of Skr1.17 billion ($175 million) on German and Swedish equity options – exceeding the bank's own Skr33 million estimate of the portfolio's market risk, as well as the margin required by Eurex.

Finansinspektionen (FI), Sweden's financial supervisor, revoked HQ's

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