Eurex’s risk chief on the need for boring models

Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO

Dmitrij Senko
Dmitrij Senko, Eurex Clearing

For banks and investors, March’s explosion in volatility across asset classes was an abject lesson in markets’ inability to defy gravity forever. For Dmitrij Senko, chief risk officer of Eurex Clearing, the meltdown was a valuable stress test of the margin framework he began working on almost a decade ago – one he argues they achieved a passing grade on, despite a few wrinkles.

What irked dealers more than the unprecedented number of margin breaches that occurred as markets nosedived was their

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: