PelatihA concentration add-on charges extra margin on positions large relative to the market’s capacity to absorb them, since closing them out would take longer than the margin period of risk and move prices.
Contoh
Example 25.9 (The tools in March 2020)
With a 25% buffer on the filtered model, released when the book’s EWMA volatility exceeds twice its one-year average, the member held 5.26 million in February and 10.30 million at the peak: 5.04 million of new margin instead of 6.09. With a 25% weight on the margin of the most volatile year before 2020 (6.55 million), it held 4.79 million and had to find 5.51 million. The tools shift margin from the stress to the calm; they do not lower the peak.