The values of the model parameters taken into account when calculating the risk management- and haircut parameters are the following:

  1. Level of Confidence: 99.2% for derivatives on energy and 99.0% for all the other financial products 
  2. Risk Horizon: 2-4 days
  3. Smoothing parameter (λ): 0.99
  4. Look-back period (time window) for the calculation of the current volatility: twelve (12) months
  5. Look-back period (time window) for the calculation of the historical volatility under stress market conditions: three (3) months from the last five (5) years
  6. Corresponding market indices belonging to a correlation group: FTSE/ATHEX Large Cap Index (equity asset class ); Baseload and Peakload Index of the underlying electricity day ahead market
  7. Minimum number of business days during the last twelve (12) months that a security shall have non zero (0) trading volume: 125
  8. Time period of replenishment of observations: 12 months
  9. Determination of correlation groups:
    • For the Securities Market, the correlation of the products is calculated via or with the corresponding market index.
    • For the Derivatives Market, a correlation between different underling of series is estimated while for derivative on energy between different series.
    • The correlation between different correlation groups is calculated in the same way.
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