CHICAGO & NEW YORK--(BUSINESS WIRE)--Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced the first phase of its futures and options initial margin methodology update from ICE Risk Model (IRM 1.0) to a Value-at-Risk (VaR)-based portfolio margining methodology, IRM 2.0.
“Over the last decade, ICE has invested heavily in its clearing operations technology and its world class risk management and models”
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IRM 2.0 utilizes a Filtered Historical Simulation VaR approach that models the behavior of a portfolio, capturing all relationships and diversifying effects within a portfolio, rather than measuring risk on an instrument-by-instrument basis.
“Over the last decade, ICE has invested heavily in its clearing operations technology and its world class risk management and models,” said Christopher S. Edmonds, Global Head of Clearing and Risk at ICE. “By modelling the portfolio as a whole, IRM 2.0 allows for offsets to be reflected in the final initial margin value, creating risk-appropriate capital efficiencies for clearing members and their customers. We are working closely with clearing members, regulators and the wider market as we develop and transition to the new risk model.”
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