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Equity Margin Calculation for Sectors by sa is a document available to read on EtoBox.

This document discusses the calculation of initial margin for an equity swap bundle. It involves three steps: 1. Calculating concentration risk (CR) and weight sensitivity (WSk) for different sectors. 2. Computing the first part of delta margin (K) by adding K values for each sector. 3. Computing the second part by factoring in correlation between sectors. The total delta margin and initial margin are calculated to be 1,305,686.027. Detailed calculations are provided in an attached excel sheet.

Author

sa

Language

EN