Margin Backtesting

Christophe Hurlin and Christophe Perignon ()

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Abstract: This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which are defined as situations in which the trading loss of a market participant exceeds his or her margin. We also propose an original way to validate globally the margining system by aggregating individual backtesting statistics obtained for each market participant.

Keywords: Collateral Requirements; Futures Markets; Tail Risk; Derivatives Clearing (search for similar items in EconPapers)
Date: 2012-10-28
New Economics Papers: this item is included in nep-fmk and nep-rmg
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00746274
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Citations: View citations in EconPapers (6)

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