Calculating SPAM/PM margin

Discussion in 'General Discussion' started by Marcas, May 11, 2018.

  1. Marcas

    Marcas Well-Known Member

    Does anybody know formula for rough calculation of SPAM/PM margin without usage of BSM model and care to share
    or can confirm if such formula exists at all?
  2. Jeffrey Suckow

    Jeffrey Suckow Active Member

    Not sure if this will answer your question :

    Great presentation from Ron Bertino where he discusses PM.
  3. Marcas

    Marcas Well-Known Member

    It is good PM presentation, unfortunately it does not answer my questions.
  4. Mark17

    Mark17 Well-Known Member

    I used to look 12% up/down on my T+0 risk graph and identify the worst loss. That did not match up with TOS PMR, though. They add an additional volatility stress.
  5. Marcas

    Marcas Well-Known Member

    This is my plan as well (if I wont find anything better). I'm more interested in relative changes than in absolute margin level.

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