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28 octobre 2012
- ISIDORE Id: 10670/1.affc75...
- halshs: halshs-00746274
info:eu-repo/semantics/OpenAccess
Mots-clés
Collateral Requirements Futures Markets Tail Risk Derivatives Clearing G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures PricingSujets proches
Futures trading Futures contracts Trading, Futures Price policy, Industrial Retail pricing Price policyCiter ce document
Christophe Hurlin et al., « Margin Backtesting », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.affc75...
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Résumé
This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which are defined as situations in which the trading loss of a market participant exceeds his or her margin. We also propose an original way to validate globally the margining system by aggregating individual backtesting statistics obtained for each market participant.
