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.
Last updated
| Factor | Calculation | Description | Weight |
|---|---|---|---|
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
