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What is the difference between the exchange margining system and the VaR you provide?

April 26, 2017difference exchange margining system var

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What is the difference between the exchange margining system and the VaR you provide?

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Exchanges have lately moved to VaR based margining system. TransRisk estimates risk on the total portfolio risk (VaR) and also individual positions. Unlike the Exchange margining system, the risk capital/margin that TransRisk computes takes into account the benefit from the correlation between each and any two assets of the portfolio. Moreover TransRisk considers the physical/cash market positions also for estimating the risk capital.