Market Risk (300)

Market Risk indicates the relative directional risk of the portfolio. The Market Risk factors account for 300 of the total Credit Score. The Base Metrics considered - SPAN Max Loss, ABS Delta, and Gross Leverage - offer different insights on portfolio activity.

FactorCalculationDescriptionWeight

SPAN Risk

SPAN Max Loss / Assets

Maximum expected loss of a shock in relation to Assets. Indicates the risk exposure of the strategy.

180

Directional Risk

ABS Delta / Assets

Directional exposure of a trading firm in relation to Assets. Indicates directional exposure of the strategy.

60

Gross Risk

Gross Leverage / Assets

Aggregate position exposure of a trading firm in relation to Assets. Indicates instrument exposure of the strategy.

60

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