As a central counterparty for the derivatives market, the Derivatives Clearinghouse requires collateral to be pledge by its participants as a mean to protect itself from the risk associated with their transactions. Should a participant defaults, the Clearinghouse will be responsible for the settlement of its trades; however, it can use the participant´s pledged collateral to compensate for any such losses that may occur.
DCX Nepal developed its own methodology to estimate risk and collateral amounts which is based on stress testing and primitive risk factors, the so-called FPRs.
Collateral is required from all customers holding open positions. Margin values shall be updated/revised by DCX Nepal, in accordance with the margin calculation criteria for futures contracts
Margin levels reflect the portfolio´s exposure to underlying risk factors.
Methodology: stress testing, linear decomposition for listed futures, full valuation for listed options
DCX Nepal also has a robust post trade risk management activities such as:
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