haku: @all futures / yhteensä: 100
viite: 99 / 100
| Tekijä: | Cotter, J. |
| Otsikko: | Margin exceedences for European stock index futures using extreme value theory |
| Lehti: | Journal of Banking and Finance
2001 : AUG, VOL. 25:8, p. 1475-1502 |
| Asiasana: | STOCKS FUTURES MARKETS VALUE THEORY |
| Kieli: | eng |
| Tiivistelmä: | Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection of stock index futures traded on European exchanges. The theoretical framework focuses explicitly on tail returns, thereby properly accounting for large levels of risk in measuring prudent margin levels. The paper finds that common margin requirements are sufficient for each contract, with the exception of the Norwegian OBX index, in providing equitable costs for traders. In addition, the paper shows the underestimation bias in margin levels that are calculated assuming normality. Differing margin requirements reflect the unconditional and conditional trading environments. |
SCIMA