Calling for the true margin

Jussi Keppo

Applied Financial Economics, 1997, vol. 7, issue 2, 207-212

Abstract: This paper derives a fixed risk level margin calculation model for a derivatives clearing house. The model enables the calculation of net margin requirements of customer's portfolios from the clearing house's perspective. First, the probability distribution of the value of the customer's portfolio is characterized. Second, the loss distribution of the clearing house is derived from this probability distribution and the default probability of the exchange member. Finally, the margin requirement of the investor is set based on the clearing house's loss distribution.

Date: 1997
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031097333781 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:7:y:1997:i:2:p:207-212

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031097333781

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().