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How Do Margin Models Account for Concentration Risk during a Stress Period?

Use 'concentration add-ons' or 'liquidity charges' to increase margin for large positions, reflecting the higher liquidation cost and market impact during stress.
Greeks.Live23.11.25

How Do Margin Models Account for Concentration Risk during a Stress Period?

Concentration risk arises when a clearing member holds an excessively large position relative to market capacity. Margin models use 'concentration add-ons' or 'liquidity charges' to increase the margin requirement for such large positions.

This reflects the higher liquidation cost and market impact during a stress period.

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