Correlation haircut

Our in-house built Correlation haircut model optimizes capital requirements for our clients and has been developed to provide coverage of all asset classes.

The Correlation haircut takes into account correlations between different equities, indices, bonds and derivative products across asset classes when calculating the haircut, offering substantial added value by offsetting correlated products on various exchanges.

The system can lead to significant savings in terms of capital requirements.

Correlation haircut flowchart

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