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What Is the Main Objective of the SPAN Margining System?

SPAN's objective is to calculate margin based on the total risk of a derivatives portfolio under various market scenarios.
Greeks.Live23.11.25

What Is the Main Objective of the SPAN Margining System?

The main objective of the Standard Portfolio Analysis of Risk (SPAN) system is to calculate margin requirements based on the total risk of a portfolio of derivatives, rather than calculating margin for each contract individually. It uses risk arrays to estimate the potential loss of the portfolio under various market scenarios, promoting a more capital-efficient and risk-sensitive margin model.

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