Series 28: Risk-Based Haircut Methodology

Risk-Based Haircut Methodology

TIMS assesses market risk by calculating an array of theoretical gains and losses involving the following four steps. First, it groups all options into their long and short positions according to their type (call or put), exercise price, and underlying security. Each group is called an options series. Next, the theoretical gains and losses are computed for each options series by applying 10 equidistant valuation points within a range of prices representing a designated increase or d