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.
Glossar
SPAN
Calibration ⎊ SPAN represents a risk management methodology, initially developed for options portfolios, now extended to cryptocurrency derivatives, focusing on the standardized measurement of market risk.
Market Scenarios
Contingency ⎊ Market scenarios in cryptocurrency derivatives represent probabilistic assessments of future price movements, crucial for option pricing and risk management, particularly given the inherent volatility of digital assets.
Risk Array
Exposure ⎊ The Risk Array, within cryptocurrency derivatives, options trading, and broader financial derivatives contexts, represents a structured quantification of potential losses stemming from adverse market movements.
Gains and Losses
Realization ⎊ ⎊ Gains and losses in cryptocurrency, options, and derivatives represent the quantifiable difference between expected and actual outcomes of a trading position or investment strategy, fundamentally driven by price movements and time decay.