How Is the ‘Portfolio Margin’ Requirement Calculated under Regulatory Frameworks?

Portfolio margin is calculated using a standardized, regulatory-approved risk-based model (like the TIMS or SPAN methodology). The model assesses the theoretical profit and loss of the entire portfolio across a wide range of market movements (e.g.

+/- 30% price change and +/- 30% volatility change). The margin required is the largest potential loss calculated across all these scenarios.