IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v54y2018i11p2516-2532.html
   My bibliography  Save this article

Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market

Author

Listed:
  • Kyungsub Lee
  • Byoung Ki Seo

Abstract

We discuss how to determine the margin of interest rate portfolio under Korean interest rate market when the trades are cleared through a clearing house. The analysis is based on the filtered historical simulation using the EWMA and GARCH model for the interest rate process. Due to the irregular feature in the short tenor rates, we observe the instabilities of the filtered processes by the EWMA model, and we propose how to mitigate the instability. We also explain the properties of the inferred volatility processes depending on the volatility model, the observation interval of the interest rate series, and the parameter choice.

Suggested Citation

  • Kyungsub Lee & Byoung Ki Seo, 2018. "Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(11), pages 2516-2532, September.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:11:p:2516-2532
    DOI: 10.1080/1540496X.2018.1456917
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2018.1456917
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2018.1456917?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:54:y:2018:i:11:p:2516-2532. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.