Risk parameters of financial instruments
A set of parameters used to control and manage the risks in transactions with financial instruments and other key risk management procedures
Risk parameters of financial instruments are divided into the following categories:
- fundamental risk parameters — used as the basis for all risk calculation models (e.g. margin, stress collateral, fund contributions, etc.).
- approved risk parameters — the concentration limit, minimum market risk rates and minimum interest risk rates approved by the Market Risk Committee.
- calculated risk parameters — the parameters determined based on fundamental risk parameters, approved risk parameters are used for daily calculation of margins, settlement prices, price ranges, etc.