The values of the model parameters taken into account when calculating the risk management- and haircut parameters are the following:

  1. Level of Confidence: 99.0% 
  2. Risk Horizon: 2-4 days
  3. Smoothing parameter (λ): 0.99
  4. Look-back period (time window) for the calculation of the current volatility: twelve (12) months
  5. Look-back period (time window) for the calculation of the historical volatility under stress market conditions: three (3) months from the last five (5) years
  6. Corresponding market index for securities belonging to a correlation group: FTSE/ATHEX Large Cap Index
  7. Minimum number of business days during the last twelve (12) months that a security shall have non zero (0) trading volume: 125
  8. Time period of replenishment of observations: 12 months
  9. For instruments belonging to a correlation group: correlation among instruments via or with the corresponding market index.
  Cash Market  
View the Risk Management Parameters for Cash Market:  
 - Announcement
 - Risk Management Parameters (effective as of 21/06/2019)
 - Risk Management Parameters (effective up to 20/06/2019)

 

  Derivatives Market  
View the Risk Management Parameters for Derivatives Market:  
 - Announcement
 - Risk Management Parameters (effective as of 14/06/2019)
 - Risk Management Parameters (effective up to 13/06/2019)

 

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