NISM Series XIII Common Derivatives Certification Exam Notes
Page 171 Of 303
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Risk Management Framework: Includes margins, liquid assets, pre-trade controls, real-time monitoring.
Initial Margin: Computed upfront for all open positions.
SPAN System: Used to calculate initial margin using VaR approach.
Price Scan Range: Varies by currency pair, e.g., USDINR – 1.5%.
Volatility Scan Range: Fixed at 25% of annualized EWMA volatility.
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