کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
13460942 | 1845141 | 2019 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Anti-cyclical versus risk-sensitive margin strategies in central clearing
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine the effects of different margin strategies on the loss distribution of a clearing house during various crises of different stock price trends, volatility expectations, bid-ask spreads, and funding liquidity. We simulate a hypothetical clearing house active on the US stock futures market 2008-2015, investigating its micro-level stability. We find that it might be optimal to replace the strict risk-sensitive margin strategy by more anti-cyclical ones. The extreme anti-cyclical strategy (full smoothing), however, was suboptimal on this sample. Our results may help institutions elaborate their margin strategies to develop risk management systems in line with new regulations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 62, September 2019, Pages 117-131
Journal: Journal of International Financial Markets, Institutions and Money - Volume 62, September 2019, Pages 117-131
نویسندگان
Edina Berlinger, Barbara Dömötör, Ferenc Illés,