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What Is the Concept of a ‘Stress Period’ in Margin Modeling?

A historical or hypothetical time of extreme market volatility used by margin models to determine the maximum potential loss a portfolio could sustain.
Greeks.Live23.11.25

What Is the Concept of a ‘Stress Period’ in Margin Modeling?

A stress period refers to a historical or hypothetical time frame characterized by extreme market movements, such as a financial crisis or a sudden crash. Margin models use data from these periods to calculate the maximum potential loss a portfolio could sustain.

This ensures the margin held is sufficient to cover losses during severe market turmoil.

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