The devil’s in the details.
The CME Group is putting the finishing touches on its new value-at-risk margin framework Span 2, an abrupt break from the Span 1 vernacular, now in its fourth decade. As the fine print of Span 2 starts to seep out, risk managers are looking at where it departs from current orthodoxy.
The differences are stark. Among them: correlations for purposes of netting out contracts will be crunched by computer for an entire portfolio – a sea change from the manual, product-by