Sorgem Evaluation was commissioned to model the risk analysis calculations carried out by Euronext

Sorgem Evaluation recently assisted a client who, as part of its derivatives business, needed to switch to the Euronext clearing platform. The challenge was that, although Euronext provided the necessary margin calls, the details of the calculations were not disclosed.

To ensure that the margin calls met its clients’ expectations, the company asked us to develop a tool capable of replicating the risk analysis calculations carried out by Euronext. To achieve this, we undertook the following work:

1. Methodological review: We analysed the calculation methodology of the Euronext clearing platform based on the documentation provided;
2. Tool development: We developed an SQL script to replicate the risk analysis calculations based on Monte Carlo simulations;
3. Validation of results: We compared the results obtained with those provided by Euronext to ensure that the model was correctly calibrated.

Thanks to this approach, our client now has a robust in-house tool enabling it to validate and monitor margin calls with complete transparency and accuracy.