Calling for the true margin
This paper derives a fixed risk level margin calculation model for a derivatives clearing house. The model enables the calculation of net margin requirements of customer's portfolios from the clearing house's perspective. First, the probability distribution of the value of the customer's portfolio is characterized. Second, the loss distribution of the clearing house is derived from this probability distribution and the default probability of the exchange member. Finally, the margin requirement of the investor is set based on the clearing house's loss distribution.
Year of publication: |
1997
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Authors: | Keppo, Jussi |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 7.1997, 2, p. 207-212
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Publisher: |
Taylor & Francis Journals |
Saved in:
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