Risk parameters (minimum market risk rates, concentration limits, model and technical parameters) are determined according to the Methodology for Defining Risk Parameters for Securities Market and are redefined on a regular basis.
Risk parameters recalculated every evening at 07:00 pm Moscow time as well as during trading hours when the price and risk bands are changed:
Market risk parameters and Penalty rates for securities
Risk parameters before bond redemption on the Securities market
The authorized executive body of the Clearing Centre is entitled to make a decision on setting the Market and Interest Risk Rates different from the calculated values.
About Clearing Members' Notification
The risk parameters such as values of the Concentration Limits of the first and the second levels, Minimum restrictive levels of the Market Risk Rates of the first (second, third) level, technical parameters used for the calculation of the risk-parameters are approved by the authorized executive body of the Clearing Centre and are redefined if required:
Inter-Product spread groups for securities market
Inter-Product spread rates for securities market
Interest rate minimum estimate for shares
Interest rate minimum estimate for bonds
For shares
The technical risk parameters are employed in determination of Market Risk
The technical risk parameters are employed in determination of Interest Risk
For bonds
The technical risk parameters are employed in determination of Market Risk
The technical risk parameters are employed in determination of Interest Risk