Business and Personal Finance Dictionary

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• SPAN®
  
  Is the Standard Portfolio Analysis of Risk (SPAN®) system. It was initially developed and implemented by the Chicago Mercantile Exchange. Other exchanges and clearinghouses have since adopted this methodology. It evaluates the performance bond, or margining requirements, for positions on a portfolio basis. It matches and evaluates similar instruments. These instruments can be futures, options, and derivatives. SPAN® tries to indicate the largest potential one-day loss that a portfolio might experience. These losses can be attributable to adverse price and volatility behavior. Since the inception of SPAN®, methodologies such as Value at Risk (VAR), have also focused on standard deviation (confidence level) statistics. SPAN® uses 16 different scenarios or market conditions in the calculation of the risk arrays.
  
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