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Price limits and capital requirements of futures clearinghouses

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  • Shanker, Latha
  • Balakrishnan, Narayanaswamy

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  • Shanker, Latha & Balakrishnan, Narayanaswamy, 2006. "Price limits and capital requirements of futures clearinghouses," European Journal of Operational Research, Elsevier, vol. 168(2), pages 281-290, January.
    • Handle: RePEc:eee:ejores:v:168:y:2006:i:2:p:281-290
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    References listed on IDEAS

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    1. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    2. Gemmill, Gordon, 1994. "Margins and the safety of clearing houses," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 979-996, October.
    3. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.
    4. Andrew Cornford, 1996. "Some Recent Innovations in International Finance: Different Faces of Risk Management and Control," Journal of Economic Issues, Taylor & Francis Journals, vol. 30(2), pages 493-508, June.
    5. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    6. Bates, David & Craine, Roger, 1999. "Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(2), pages 248-272, May.
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