Hi MHill, Thanks for taking the time to look into this! You're probably spot on with your speculation, but I'll confirm with Eurex and then post their response.Kind regards, dh

<r>Hi, here's the link to the pdf: <URL url="http://www.eurexclearing.com/blob/294792/9c0910e525ecde02b50cf0dd3574cc35/data/eurex_clearing_prisma_brochure.pdfThanks!dh"><LINK_TEXT text="http://www.eurexclearing.com/blob/29479 ... fThanks!dh">http://www.eurexclearing.com/blob/294792/9c0910e525ecde02b...

<t>Hi everyone, I was reading about PRISMA's (EUREX) margining methodology today and learnt that the market risk component of initial margins is computed as the maximum of a filtered historical VaR figure (750 observations, daily) and a stressed VaR figure (250 observations, daily). It said in the d...

<t>Hi everyone, I would like to test variances for mean reversion and ran into a few problems (sadly, I am not much of an econometrician...):1. I have time series of daily prices and returns per product (mostly commodity futures) counting between ca. 100 and 250 observations. Can I derive a time ser...