Does anyone know in detail how do the Brokers compute PORTFOLIO MARGIN?

Discussion in 'Risk Management' started by tabasco mark, Nov 26, 2011.

  1. If you have a link - I would be glad to receive it .
    I don't mean the general explanation but a more detailed
    used by TOS,TD,IB etc.

    Thanks :)
     
  2. rnrow

    rnrow

    PM haircut or margin requirement is calculated using the TIMS calculation. For equities, it "shocks" a portfolio +/- 15% and calculates your potential loss. Check out the OCC website for a summary and launch the online position editor to simulate positions and haircut. Remember, this in the minimum requirement, your prime broker can always ask for a higher requirement.

    http://www.theocc.com/risk-management/rbh/
    https://cpm.theocc.com/tims_online.htm