MarginMargin Calculation Method (VaR Method) for Futures and Options

JSCC has changed its Margin calculation methodology from "SPAN method" to "VaR method" on November 6, 2023. Please refer to the following file for details.

Under VaR Margin calculation method, there are 2 types of calculation method,
i.e., Historical Simulation Method (HS-VaR Method) and Alternative Simulation Method (AS-VaR Method).

• Under HS-VaR Method, the portfolio profit/loss is obtained according to each of the scenarios generated based on historical market data and other factors, and then the amount to cover 99% of such profit/loss is obtained.


• Under AS-VaR Method, parameters, such as expected price fluctuations, are set in advance, and the portfolio profit/loss is obtained according to the scenarios generated based these parameters.

Please see the following User Sign-up Guide for starting Web Simulation Environment utilization.
Regarding Web Simulation Environment utilization method, please refer to User Guide which is available on the screen after login.

Please refer to the “Overview of VaR Margin Calculation Software” for the application overview, including operating environment, and “GUI Application Specifications” for details, such as the operation method and data entry/output file layout.

“Parameter Files for VaR Margin Calculation” are classified into three types of files, i.e., the files recording basic parameters such as confidence level (VPF), the files recording scenario profit/loss for each instrument (BPF), and the Add-on Charge Parameter File (APF).
A user needs to import VPF, BPF, and APF for VaR Margin calculation. As to BPF, a separate file will be provided per product category. So, a user does not need to import BPF for the product categories that are not included in the position subject to the Margin calculation. Moreover, a user does not need to import APF if he/she does not need to calculate Margin Add-on Charge.
Please refer to the “Overview of VaR Margin Calculation Software” and “GUI Application Specifications” for detail.
Parameter Files Location

i) Position File
A sample of the position file to be prepared by the users. This file contains an arbitrary position of the major instruments listed as of 10/31/2023.

ii) VaR Margin Calculation Results File
A file that outputs calculation results obtained by importing sample files i) and Parameter Files(VPF,BPF,APF) on 10/31/2023.

Please note that data contained in SPF, a parameter file to calculate Stress Add-on IM (SAM), amongst the sample parameter files is dummy values, and calculated SAM with the file could differ from actual amount.