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What Is a ‘Risk Array’ in the Context of Margin Calculation?

A table showing pre-calculated gains and losses for a derivative product across various price and volatility movements, used to find the maximum loss.
Greeks.Live23.11.25

What Is a ‘Risk Array’ in the Context of Margin Calculation?

A risk array is a table of pre-calculated gains and losses for a specific derivative product across a range of potential price and volatility movements. SPAN uses these arrays to determine the largest loss for a given portfolio.

The array covers a set of defined market scenarios to ensure comprehensive risk coverage.

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