Skip to main content
Version: testnet (v0.73)


A type of risk model for futures trading

type LogNormalRiskModel {
riskAversionParameter: Float!
tau: Float!
params: LogNormalModelParams!


LogNormalRiskModel.riskAversionParameter ● Float! non-null scalar

Lambda parameter of the risk model, probability confidence level used in expected shortfall calculation when obtaining the maintenance margin level, must be strictly greater than 0 and strictly smaller than 1

LogNormalRiskModel.tau ● Float! non-null scalar

Tau parameter of the risk model, projection horizon measured as a year fraction used in the expected shortfall calculation to obtain the maintenance margin, must be a strictly non-negative real number

LogNormalRiskModel.params ● LogNormalModelParams! non-null object

Parameters for the log normal risk model

Member of

UpdateMarketLogNormalRiskModel object

Implemented by

RiskModel union