6+

Contemporary approaches to reducing the risks of central counterparties based on the use of marginal contributions

Send me via email
Authors


Candidate of Economic Sciences, Associate Professor of "Monetary and credit relations and monetary policy"
Russia, Financial University under the Government of the Russian Federation
4108997.@gmail.com

Abstract

To protect their own interests central counterparties has developed a number of procedures, including payment of guarantee margin by trading members as a means to ensure their positions. This article discusses a number of approaches, which attempt to simulate the risks of the Central Committee, as well as calculating the amount of margin and other resources in the event of insolvency. These approaches are based on the simulation of the three main types: (a) statistical modeling; (b) optimization modeling, and (c) model of option pricing. The author incorporates the basic provisions of models.

Keywords

clearing and central counterparty, risk, security, margin contributions.

Print Friendly, PDF & Email

Categories of article:

Read also

No items found

Suggested citation

Utkin Viktor Sergeyevich
Contemporary approaches to reducing the risks of central counterparties based on the use of marginal contributions// Modern Management Technology. ISSN 2226-9339. – #7 (19). Art. # 1904. Date issued: . Available at: https://sovman.ru/en/article/1904/

Full article text is available only in Russian.
Please select from the menu Russian language and continue reading.


References

  1. Telser, L (1981) “Margins and Futures Contracts”, JournalofFuturesMarkets, Vol.1, №2, pages 225-253.
  2. Anderson, R (1981) “Comments on “Margins and Futures Contracts”, JournalofFuturesMarkets, Vol.1, №2, pages 259-264.
  3. Kalavathi, L and Shanker, L (1991) “Margin Requirements and the Demand for Futures Contracts”, JournalofFuturesMarkets, Vol.11, №2, pages 213-237.
  4. Hartzmark, M (1986) “The Effects of changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance”, Journal of Business, Vol..59, №2, pages S147-S180.
  5. Hardouvelis, G and Kim, D (1995) “ Margin requirements, Price Fluctuations, and Market Participation in Metal Futures” Journal of Money, Credit and Banking, Vol.27, №3, pages 659-671.
  6. Figlewski, S (1984) “Margins and Market Integrity: Margin Setting for Stock Index Futures and Options”, JournalofFuturesMarkets, Vol.4, №3, pages 385-416.
  7. Gay, G, Hunter, W and Kolb, R (1986) “A Comparative Analysis of Futures Contract Margins” JournalofFuturesMarkets, Vol.6, №2, pages 307-324.
  8. Fenn, G W and Kupiec, P (1997) “Prudential Margin Policy in a Futures-Style Settlement System”, JournalofFuturesMarkets, Vol.13, №4, pages 389-408.
  9. Baer, H, France, V and Moser, J (1996) “Opportunity Cost and Prudentiality: an Analyses of Futures Clearinghouse Behavior”, University of Illinois at Urbana-Champaign, OFOR Paper, №96-01.
  10. Kupiec, P and White, P (1996) “Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems”, JournalofFuturesMarkets, Vol.16, №8, pages 943-968.
  11. Day, T and Lewis, C (1999) “Margin Adequacy and Standards: An Analysis of the Crude Oil Futures Market” Vanderbilt University, FMRC Working Paper 96-20.