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Sorgem Evaluation was commissioned to model the risk analysis calculations performed by Euronext

Sorgem Evaluation recently assisted a client who, as part of its derivatives activities, had to switch to the Euronext clearing platform. The difficulty was that, although Euronext provided the necessary margin calls, the details of the calculation were not communicated.

To ensure that the margin calls complied with their clients’ expectations, the company asked us to develop a tool that could replicate the risk analysis calculations performed by Euronext. To do this, we carried out the following work:

  1. Methodological review: We analysed the calculation methodology of the Euronext clearing platform based on the provided documentation.
  2. Tool development: We developed SQL code to replicate the risk analysis calculations based on Monte Carlo simulations;
  3. Results validation: We compared the results obtained with those provided by Euronext to ensure that the model was calibrated correctly;

Thanks to this approach, our client now has a robust internal tool that allows them to validate and monitor margin calls with complete transparency and accuracy.

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