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Cleared Margin Setting at Selected Central Counterparties

Author

Listed:
  • Robert Cox
  • Richard Heckinger
  • David A. Marshall

Abstract

Interviews with senior personnel at six of the world?s largest central counterparty clearing houses and research by financial markets staff shed light on regulations, principles, and best practices in margin setting for derivatives.

Suggested Citation

  • Robert Cox & Richard Heckinger & David A. Marshall, 2016. "Cleared Margin Setting at Selected Central Counterparties," Economic Perspectives, Federal Reserve Bank of Chicago, issue 4.
    • Handle: RePEc:fip:fedhep:00021
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    Citations

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    Cited by:

    1. Dávid Zoltán Szabó & Kata Váradi, 2022. "Margin requirements based on a stochastic correlation model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1797-1820, October.
    2. Lannoo, Karel & Thomadakis, Apostolos, 2020. "Derivatives in Sustainable Finance," ECMI Papers 29791, Centre for European Policy Studies.
    3. Lannoo, Karel, 2017. "Derivatives Clearing and Brexit: A comment on the proposed EMIR revisions," ECMI Papers 13150, Centre for European Policy Studies.
    4. 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.

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