Lam, Kin; Yu, P.L.H.; Lee, P.H. - In: European Journal of Operational Research 207 (2010) 1, pp. 524-530
The purpose of a margin requirement is to protect a clearinghouse from members' defaults resulting from big losses due to adverse movement of futures prices. To decide on how much a margin is required, a clearinghouse may refer to a benchmark margin defined as a constant multiple of the...