Stress Testing Framework


    Default Fund

    Default Fund and Supplementary Margin Methodology

    to the document

    The aim of ECC's risk management framework is to ensure that risks are covered with pre-funded resources even under extreme but plausible market conditions. According to EMIR Article 42 ECC is required to maintain a pre-funded default fund to cover the losses that exceed the losses to be covered by margin requirements. The combination of margin and pre-funded default fund enables ECC to withstand the default of the two Clearing Members with the largest combined exposure.

    ECC imposes strict requirements on its financial resources in order to fulfill this aim. Therefore, stress tests are performed daily to deliver important information about ECC’s risk exposure and help to identify risk drivers. The volume of the default fund and the individual contributions of ECC's clearing members are determined based on stress testing results. Stress testing is performed for spot and derivative markets based on historical and hypothetical scenarios.

    Marcus Knappe

    Director CCP Risk Models & Analytics

    +49 341 24680-530