One of the main concerns of the participants and authorities as regards derivatives trades is the implicit risk of this type of instruments in face of the risk pattern and the high leverage level entailed by the negotiation of these instruments.
According to this, Argentina Clearing has a solid infrastructure as regards legal regulations, information systems, resources and market supervision following international standards.
Negotiation in financial markets exposes its participants to potential risks, such as:
• Legal Risks • Market Risks
•
Credit Risks
• Operational Risks
• Depositary agents Risks
Under this context, Argentina Clearing uses an exclusive real-time monitoring system with the following characteristics:
· Proprietary developed panel control to monitor in real time the risk of each Clearing Member, Client and the market in general.
· By means of the scenarios simulation, it calculates in real-time the margins applicable to each portfolio as well as the mark-to-markets and premiums generated during the trading sessions.
· Uses the Black & Scholes formula to value and display several optionsī variables, such as: delta, gamma, theta, vega, rho and implied volatility.
· Informs about the concentration of margins and open interest and the fulfilment of open position limits.
· Through tools based on Value at Risk criteria, it estimates the parameters to be included in the system, such as: price variation ranges, volatilities, spread charge, among others.
