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The performance of S&P500 futures product margins under the span margining system

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  • Paul H. Kupiec

Abstract

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Suggested Citation

  • Paul H. Kupiec, 1993. "The performance of S&P500 futures product margins under the span margining system," Finance and Economics Discussion Series 93-27, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:93-27
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    Cited by:

    1. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
    2. Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani, 2016. "Systemic Risks in CCP Networks," Papers 1604.00254, arXiv.org.
    3. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
    4. Peter Fortune, 2003. "Margin requirements across equity-related instruments: how level is the playing field?," New England Economic Review, Federal Reserve Bank of Boston, pages 31-50.
    5. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
    6. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
    7. Selma Chaker & Nour Meddahi, 2013. "CoMargin," Staff Working Papers 13-47, Bank of Canada.
    8. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

    More about this item

    Keywords

    Futures; Margins (Security trading);

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