Ice announces planned launch of phase one of ice risk model 2.0, a var-based portfolio margining methodology

Chicago & new york--(business wire)--intercontinental exchange, inc. (nyse:ice), a leading global provider of data, technology, and market infrastructure, today announced the first phase of its futures and options initial margin methodology update from ice risk model (irm 1.0) to a value-at-risk (var)-based portfolio margining methodology, irm 2.0. irm 2.0 utilizes a filtered historical simulation var approach that models the behavior of a portfolio, capturing all relationships and diversifying
ICE Ratings Summary
ICE Quant Ranking