Eurex margin flaws claimed in Swedish bank collapse case

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

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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