The End of Span?

Writing on Finextra.com, Tony Freeburn of Genpact Headstrong Capital Markets asks whether the SPAN model used in futures clearing can survive in the face of widespread adoption of VaR models in OTC derivatives clearing.

The central clearing mandate for OTC derivatives has forced CCPs to apply various combinations of SPAN and VaR margin calculation techniques to portfolios containing a mix of listed and OTC derivatives. The inherent unwieldiness of these approaches poses a question – how much longer before every CCP applies VaR to all cleared derivatives, whether OTC or listed?

The full article is available here.

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