ANALYSIS: Margin breaches rising with move to ‘dynamic’ VaR model – Cumulus9

5th February, 2025

Gregory Rosenvinge

The number of margin breaches increased in 2024 as major clearing houses shifted to Value-at-Risk (VaR) margin models, according to Cumulus9 which expects this trend to continue amid increasing adoption of the dynamic margin methodology.

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Bank of America
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ABN AMRO
Bank of America
CBOE
Citi
Goldman Sachs
DRW Holdings
HSBC
J.P Morgan
Marex
Morgan Stanley
SGX
SocGen
Susquehanna
MUFG Investor Services
TP ICAP

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