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Author : Betsey Epstein Kuhn
Publisher :
ISBN 13 :
Total Pages : 300 pages
Book Rating : 4.F/5 ( download)
Download or read book An Estimation Model for Futures Contract Margin Requirements written by Betsey Epstein Kuhn and published by . This book was released on 1976 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Gerard Shane
Publisher :
ISBN 13 :
Total Pages : 378 pages
Book Rating : 4.E/5 ( download)
Download or read book Estimating Volatilities for Setting Margins for Soybean Futures written by John Gerard Shane and published by . This book was released on 1988 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raymond Knott
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (778 download)
Download or read book Assessing Central Counterparty Margin Coverage on Futures Contracts Using GARCH Models written by Raymond Knott and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ya Cai
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (111 download)
Download or read book The Relationship Between Margin Changes and Volatility in Futures Markets written by Ya Cai and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traders in futures markets are required to deposit initial margin requirements for their open futures positions and maintain minimum margin requirements for these open positions. Futures exchanges set these margin requirements and require higher margin requirements for more volatile contracts. It has been argued that futures exchanges may use changing margin requirements to control the volatility of futures contracts and this question is still of interest. To address this question, I investigate the relationship between margin changes and futures price volatility for 24 different futures contracts, which include contracts on agricultural commodities, livestock, equity indices, interest rate and foreign currency. I provide evidence using univariate tests that the futures price volatility is significantly reduced following margin increases, while the futures price volatility increases but to a lesser extent following margin decreases. A regression analysis shows that larger margin changes have a greater negative effect on the futures price volatility. This relationship holds for the different futures contracts. Finally, it may be argued that margin requirements and futures price volatility are endogeneous variables. To address the potential presence of endogeneity, I employ the instrumental variables technique along with two stages least squares estimation and find that the inverse relationship between margin changes and volatility still holds.
Author : Peter Caspers
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)
Download or read book Forecasting Initial Margin Requirements - A Model Evaluation written by Peter Caspers and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, a model for estimating future initial margin requirements is necessary to enable the calculation of pricing adjustments (MVA), net counterparty credit exposures and credit capital (RWA). Existing literature on the topic suggests a model which makes use of regression techniques, but little detail is available on the predictive quality of these models within a Monte Carlo simulation framework. We review these regression-based initial margin models in detail and compare their output against the actual margin requirements measured by the ISDA SIMM methodology. We observe that the models generally perform well for single trades but show some degradation for single option products and larger diversified portfolios. We investigate potential extensions and improvements to the model, along with examining some additional “conservatism” features that may have application in the context of credit exposure measurement. The Initial Margin modelling approaches discussed here are similarly applicable to centrally cleared or exchange-traded portfolios.
Author : Sergio H. Lence
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Parameter-Based Decision Making Under Estimation Risk written by Sergio H. Lence and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study shows how the standard portfolio model of futures trading should be modified when there is less than perfect information about the relevant parameters (estimation risk). The standard and the optimal decision rules for futures trading in the presence of estimation risk are compared and discussed. An operational model of futures trading for use under estimation risk is advanced. In the presence of relevant prior and sample information, the model can be used to optimally blend both types of information.
Author : Leanne J. Ussher
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 (843 download)
Download or read book An Agent-based Model of a Speculative Futures Market written by Leanne J. Ussher and published by . This book was released on 2004 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Accounting Standards Board
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.E/5 ( download)
Download or read book Fair Value Measurements written by International Accounting Standards Board and published by . This book was released on 2006 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 534 pages
Book Rating : 4.3/5 (555 download)
Download or read book Review of Research in Futures Markets written by and published by . This book was released on 1994 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consists of the proceedings of seminars on futures markets held by the Chicago Board of Trade.
Author :
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (89 download)
Download or read book World Agricultural Supply and Demand Estimates written by and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Keith Redhead
Publisher :
ISBN 13 :
Total Pages : 404 pages
Book Rating : 4.0/5 ( download)
Download or read book Financial Derivatives written by Keith Redhead and published by . This book was released on 1997 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete, highly accessible introduction to futures, forwards, options and swaps. Covers stock index futures, and short- and long-term interest rate futures. Discusses advanced strategies, including currency forwards and futures, options, arbitrage, Black-Scholes and Binomial option pricing models. Discusses swaps. Presents numerous examples and worked "activities" to illustrate techniques and facilitate self-assessment. Undergraduate and postgraduate introductory courses in financial derivatives, financial markets, institutions and investments.
Author :
Publisher :
ISBN 13 :
Total Pages : 536 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A Jarrow
Publisher : World Scientific
ISBN 13 : 9814470635
Total Pages : 609 pages
Book Rating : 4.8/5 (144 download)
Download or read book Financial Derivatives Pricing: Selected Works Of Robert Jarrow written by Robert A Jarrow and published by World Scientific. This book was released on 2008-10-08 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author : Emily Lambert
Publisher : Basic Books
ISBN 13 : 0465022979
Total Pages : 242 pages
Book Rating : 4.4/5 (65 download)
Download or read book The Futures written by Emily Lambert and published by Basic Books. This book was released on 2010-12-28 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Futures, Emily Lambert, senior writer at Forbes magazine, tells us the rich and dramatic history of the Chicago Mercantile Exchange and Chicago Board of Trade, which together comprised the original, most bustling futures market in the world. She details the emergence of the futures business as a kind of meeting place for gamblers and farmers and its subsequent transformation into a sophisticated electronic market where contracts are traded at lightning-fast speeds. Lambert also details the disastrous effects of Wall Street's adoption of the futures contract without the rules and close-knit social bonds that had made trading it in Chicago work so well. Ultimately Lambert argues that the futures markets are the real "free" markets and that speculators, far from being mere parasites, can serve a vital economic and social function given the right architecture. The traditional futures market, she explains, because of its written and cultural limits, can serve as a useful example for how markets ought to work and become a tonic for our current financial ills.
Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1475519931
Total Pages : 300 pages
Book Rating : 4.4/5 (755 download)
Download or read book Singapore written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2013-12-05 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses key findings of the Detailed Assessment of Observance of the Committee on Payment and Settlement Systems–International Organization of Securities Commissions Principles for Financial Market Infrastructures(FMIs) in Singapore. Singapore has a well-developed payment, clearing, and settlement infrastructure, which includes two central counterparties for financial products. The infrastructure includes a large value payment system operated by the central bank and securities and derivatives clearing and settlement systems operated by the Singapore Exchange Limited. The FMIs in Singapore are subject to effective regulation, supervision, and oversight of the Monetary Authority Singapore (MAS). The legal framework provides the MAS with sufficient powers to obtain timely information and induce change.
Author : Michele Bagella
Publisher : Emerald Group Publishing
ISBN 13 : 0444527222
Total Pages : 433 pages
Book Rating : 4.4/5 (445 download)
Download or read book Transparency, Governance and Markets written by Michele Bagella and published by Emerald Group Publishing. This book was released on 2006-06-30 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers such topics as: relationship between development of financial markets and economic growth; credit risk; measure of risk in equity and bond markets; and investigating behavior and efficiency of banking intermediaries. This work serves as a useful reference for those interested in financial market dynamics.
