What Is the SPAN Risk Model?
SPAN (Standard Portfolio Analysis of Risk) is a widely used portfolio margining system developed by the CME Group. It calculates margin requirements by determining the overall risk of a portfolio of futures and options contracts based on a range of possible market movements (scenarios) and their associated losses.
It is the industry standard for many exchanges.
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.
Portfolio Margining System
Collateral ⎊ Portfolio margining systems, particularly within cryptocurrency derivatives, fundamentally revolve around the management and optimization of collateral posted by traders.
Margin Requirements
Collateral ⎊ Margin requirements represent the equity a trader must deposit with a broker or exchange as a good faith measure, securing potential losses arising from leveraged positions within cryptocurrency, options, and derivative markets.
Futures and Options
Leverage ⎊ Futures and options, within cryptocurrency markets, represent agreements conferring the right, but not the obligation, to buy or sell an asset at a predetermined price on a future date; this mechanism facilitates price discovery and risk transfer absent immediate asset ownership.