Market Risk [305]

Market Risk indicates the relative directional risk of the portfolio. The Market Risk factors account for 305 of the total Credit Score. The Base Metrics considered - SPAN Max Loss, ABS Delta, and Gross Leverage - offer different insights on portfolio activity.

Factor	Calculation	Description	Weight
Visible Liquidity	Risk Monitored Assets / Assets	Amount of assets viewable through X-Margin's risk monitoring platform. Weighed based on the percentage of total assets viewable.	100
SPAN Risk	SPAN Max Loss / Assets	Maximum expected loss of a shock in relation to Assets. Indicates the risk exposure of the strategy.	85
Directional Risk	ABS Delta / Assets	Directional exposure of a trading firm in relation to Assets. Indicates directional exposure of the strategy.	70
Gross Risk	Gross Leverage / Assets	Aggregate position exposure of a trading firm in relation to Assets. Indicates instrument exposure of the strategy.	50