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 Glossary   >   S   >   "Standard Portfolio Analysis of Risk (SPAN)" Definition   

        Standard Portfolio Analysis of Risk (SPAN)

A method of calculating initial margin by evaluating portfolio risk under a number of scenarios. LIFFE use SPAN to calculate initial margin for all contracts. Originally developed by the Chicago Mercantile Exchange (CME).

Standard Portfolio Analysis of Risk (SPAN)


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Standard Portfolio Analysis of Risk (SPAN) - A method of calculating initial margin by evaluating portfolio risk under a number of scenarios. LIFFE use SPAN to calculate initial margin for all contracts. Originally developed by the Chicago Mercantile Exchange (CME).


Standard Portfolio Analysis of Risk (SPAN) : a method of calculating initial margin by evaluating portfolio risk under a number of scenarios. liffe use span to calculate initial margin for all contracts. originally developed by the chicago mercantile exchange (cme).