The values of the model parameters taken into account when calculating the risk management- and haircut parameters are the following:
- Level of Confidence: 99.2% for derivatives on energy and 99.0% for all the other financial products
- Risk Horizon: 2-4 days
- Smoothing parameter (λ): 0.99
- Look-back period (time window) for the calculation of the current volatility: twelve (12) months
- 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
- Corresponding market indices belonging to a correlation group: FTSE/ATHEX Large Cap Index (equity asset class ); Baseload and Peakload Index of the underlying electricity day ahead market
- Minimum number of business days during the last twelve (12) months that a security shall have non zero (0) trading volume: 125
- Time period of replenishment of observations: 12 months
- Determination of correlation groups:
- For the Securities Market, the correlation of the products is calculated via or with the corresponding market index.
- For the Derivatives Market, a correlation between different underling of series is estimated while for derivative on energy between different series.
- The correlation between different correlation groups is calculated in the same way.
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