Eurex’s risk chief on the need for boring models

Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO

Dmitrij Senko, Eurex Clearing

For banks and investors, March’s explosion in volatility across asset classes was an abject lesson in markets’ inability to defy gravity forever. For Dmitrij Senko, chief risk officer of Eurex Clearing, the meltdown was a valuable stress test of the margin framework he began working on almost a decade ago – one he argues they achieved a passing grade on, despite a few wrinkles.

What irked dealers more than the unprecedented number of margin breaches that occurred as markets nosedived was their