테마별 필러 허브 · 20 건의 브리핑
Cleared Margin & VaR Models research topics and source records from QuantCalc Tools. CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) stands at 6.26% (Initial Margin / Notional) (Source: CME Clearing, 2026-10-20), governing step-by-step cash flow, margin, and basis-point sensitivity…
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) stands at 6.26% (Initial Margin / Notional) (Source: CME Clearing, 2026-10-20), governing step-by-step cash flow, margin, and basis-point sensitivity…
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) stands at 6.26% (Initial Margin / Notional) (Source: CME Clearing, 2026-10-20), governing risk-free hurdle rate compression of excess returns and optimal…
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoffersen…
Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing accrual period weighting differences…
Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing bid-ask spread amortization and…
Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing step-by-step cash flow, margin, and basis-
Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing risk-free hurdle rate compression of excess…
Macaulay Duration, Modified Duration & Second-Order Convexity (MACAULAY-CONVEXITY) stands at 7.14 yrs (Modified Duration) (Source: ICMA Rulebook 251, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-
Macaulay Duration, Modified Duration & Second-Order Convexity (MACAULAY-CONVEXITY) stands at 7.14 yrs (Modified Duration) (Source: ICMA Rulebook 251, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoffersen…
Black-Scholes-Merton Newton-Raphson Implied Volatility Solver (BSM-IMPLIED-VOL) stands at 1e-8 (Convergence Tolerance) (Source: CME Options Pricing Standard, 2026-10-20), governing step-by-step cash flow, margin, and basis…
Black-Scholes-Merton Newton-Raphson Implied Volatility Solver (BSM-IMPLIED-VOL) stands at 1e-8 (Convergence Tolerance) (Source: CME Options Pricing Standard, 2026-10-20), governing risk-free hurdle rate compression of excess…
ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid (ISDA-SIMM-MARGIN) stands at $50M (IM Threshold) (Source: ISDA SIMM Governance Forum, 2026-10-20), governing exact floating-point precision, day-count conventions…
ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid (ISDA-SIMM-MARGIN) stands at $50M (IM Threshold) (Source: ISDA SIMM Governance Forum, 2026-10-20), governing inter-commodity correlation offsets and liquidity…
Omega Ratio & Calmar Maximum Drawdown Recovery Engine (OMEGA-CALMAR) stands at 1.48x (Gain-Loss Threshold Ratio) (Source: Quantitative Risk Consortium, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate…
Omega Ratio & Calmar Maximum Drawdown Recovery Engine (OMEGA-CALMAR) stands at 1.48x (Gain-Loss Threshold Ratio) (Source: Quantitative Risk Consortium, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoffersen…
Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing (KEY-RATE-DV01) stands at $17,500 (DV01 per $100M) (Source: Fixed Income Risk Desk Standard, 2026-10-20), governing accrual period weighting differences and settlement…
Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing (KEY-RATE-DV01) stands at $17,500 (DV01 per $100M) (Source: Fixed Income Risk Desk Standard, 2026-10-20), governing bid-ask spread amortization and turnover-adjusted…
Leveraged Treasury Repo Carry & Breakeven Rolldown Calculator (REPO-CARRY-ROLLED) stands at -5.59 bps (Breakeven Yield Shift) (Source: NY Fed / Treasury Repo Desk, 2026-10-20), governing exact floating-point precision, day…
Leveraged Treasury Repo Carry & Breakeven Rolldown Calculator (REPO-CARRY-ROLLED) stands at -5.59 bps (Breakeven Yield Shift) (Source: NY Fed / Treasury Repo Desk, 2026-10-20), governing inter-commodity correlation offsets…
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Compound annual growth rate between two values, with a year-by-year projection.
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Forward exchange rate and forward points from spot and two interest rates (covered interest parity).
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Parametric VaR and Expected Shortfall for a position, at 95% or 99% confidence.
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) refers to the institutional benchmark and regulatory parameter governed by CME Clearing in US, currently recorded at 6.26% (Initial Margin / Notional) as of 2026-10-20. It directly dictates step-by-step cash flow, margin, and basis-point sensitivity audit tables.
While CME-SPAN2-VAR is anchored at 6.26% (Initial Margin / Notional, Source: CME Clearing, 2026-10-20), FRTB-ES-975 tracks at 97.5% (Confidence Interval, Source: BIS Basel Committee MAR33, 2026-10-20). Portfolio managers reconcile both metrics to optimize step-by-step cash flow, margin, and basis-point sensitivity audit tables.
Institutional desks recalibrate CME-SPAN2-VAR (6.26% Initial Margin / Notional) against official CME Clearing releases on a daily and quarterly cycle, maintaining a 30-day review cadence alongside CORNISH-FISHER-VAR (99.0% Non-Normal Quantile, Source: GARP FRM Quantitative Standard, 2026-10-18).
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) refers to the institutional benchmark and regulatory parameter governed by GARP FRM Quantitative Standard in INTL, currently recorded at 99.0% (Non-Normal Quantile) as of 2026-10-20. It directly dictates 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-shock quantile behavior.
While CORNISH-FISHER-VAR is anchored at 99.0% (Non-Normal Quantile, Source: GARP FRM Quantitative Standard, 2026-10-20), HALF-KELLY-LEVERAGE tracks at 1.635x (Optimal Gross Leverage, Source: BIS Quantitative Working Paper, 2026-10-20). Portfolio managers reconcile both metrics to optimize 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-shock quantile behavior.
Institutional desks recalibrate CORNISH-FISHER-VAR (99.0% Non-Normal Quantile) against official GARP FRM Quantitative Standard releases on a daily and quarterly cycle, maintaining a 30-day review cadence alongside LO-SHARPE-RATIO (0.3842 Annualized Ratio, Source: CFA Institute Performance Standards, 2026-10-18).