On The Efficacy Of A Portfolio Approach To Margin Setting In A Futures Style Settlement System
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Author | : Paul H. Kupiec |
Publisher | : |
Total Pages | : 84 |
Release | : 1993 |
Genre | : Efficient market theory |
ISBN | : |
Download On the Efficacy of a Portfolio Approach to Margin Setting in a Futures-style Settlement System Book in PDF, Epub and Kindle
Author | : Paul Kupiec (Economiste.) |
Publisher | : |
Total Pages | : 38 |
Release | : 1993 |
Genre | : |
ISBN | : |
Download On the Efficacy of a Portfolio Approach to Margin Setting in a Futures-style Settlement System Book in PDF, Epub and Kindle
Author | : George Fenn |
Publisher | : |
Total Pages | : 72 |
Release | : 1991 |
Genre | : Clearinghouses |
ISBN | : |
Download Prudential Margin Policy in a Futures-style Settlement System Book in PDF, Epub and Kindle
Author | : Paul H. Kupiec |
Publisher | : |
Total Pages | : 42 |
Release | : 1993 |
Genre | : Futures |
ISBN | : |
Download The Performance of S&P500 Futures Product Margins Under the SPAN Margining System Book in PDF, Epub and Kindle
Author | : Paul H. Kupiec |
Publisher | : |
Total Pages | : 58 |
Release | : 1996 |
Genre | : Derivative securities |
ISBN | : |
Download Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems Book in PDF, Epub and Kindle
Author | : Paul Kupiec |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems Book in PDF, Epub and Kindle
Although margin requirements would arise naturally in the context of unregulated trading of clearinghouse-guaranteed derivative contracts, the margin requirements on U.S. exchange-traded derivative products are subject to government regulatory oversight. At present, two alternative methodologies are used for margining exchange-traded derivative contracts. Customer positions in securities and securities options are margined using a strategy-based approach. Futures, futures-options, and securities-option clearinghouse margins are set using a portfolio margining system. This study evaluates the relative efficiency of these alternative margining techniques using data on Samp;P500 futures-option contracts traded on the Chicago Mercantile Exchange. The results indicate that the portfolio margining approach is a much more efficient system for collateralizing the one-day risk exposures of equity derivative portfolios. Given the overwhelming efficiency advantage of the portfolio approach, the simultaneous existence of these alternative margining methods is somewhat puzzling. It is argued that the co-existence of these systems can in part be explained in the context of Kane's (1984) model of regulatory competition. The efficiency comparison also provides insight into other industry and regulatory issues including the design of bilateral collateralization agreements and the efficiency of alternative schemes that have been proposed for setting regulatory capital requirements for market risk in banks and other financial institutions.
Author | : Allen N. Berger |
Publisher | : |
Total Pages | : 64 |
Release | : 1994 |
Genre | : Bank management |
ISBN | : |
Download The Efficiency Cost of Market Power in the Banking Industry Book in PDF, Epub and Kindle
Author | : Chunsheng Zhou |
Publisher | : |
Total Pages | : 52 |
Release | : 1996 |
Genre | : Rate of return |
ISBN | : |
Download Forecasting Long- and Short-horizon Stock Returns in a Unified Framework Book in PDF, Epub and Kindle
Author | : William Whitesell |
Publisher | : |
Total Pages | : 52 |
Release | : 1996 |
Genre | : Demand for money |
ISBN | : |
Download A Minor Redefinition of M2 Book in PDF, Epub and Kindle
Author | : Chunsheng Zhou |
Publisher | : |
Total Pages | : 52 |
Release | : 1996 |
Genre | : Interest |
ISBN | : |
Download Stock Market Fluctuations and the Term Structure Book in PDF, Epub and Kindle