CCPBackTestingDefinitionReportV01auth.065.001.01

Definition: Specifies the type of margin models used by a central counterparty.

Type: ModelType1Code (String)

Allowed Values:

• EXPS (Expected Shortfall): Margin model used to calculate collateral requirements to cover potential future exposures whereby the model estimates the expected loss of a portfolio over a given holding period, or margin period of risk, to a set confidence interval.
• OTHR (Other): Margin model used to calculate collateral requirements to cover potential future exposures that is not classified by any other the model type code.
• ORIA (Other Risk Aggregation): Margin model used to calculate collateral requirements where the total collateral requirement to cover potential future exposures for a portfolio is an aggregation of the estimated potential future exposure on each financial instrument of that portfolio. Such the methodology for such aggregation is defined explicitly by the model itself.
• SPAN (Span): Margin model used to calculate collateral requirements to cover potential future exposure developed by CME in the 1980s, or other derivatives thereof.
• VARI (Value At Risk): Margin model used to calculate collateral requirements to cover potential future exposure whereby the model estimates the potential loss of a portfolio over a given holding period, or margin period of risk, to a given confidence interval.
• SAMO (Scenario Analysis Model): Scenario analysis model other than SPAN.