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Determining futures “hedging reserve” capital requirements

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  • Steven C. Blank

Abstract

A model for determining funding requirements for uninterrupted operation as a hedger is presented. Hedging marking-to-market requirements are reduced as cash market liquidity increases and basis risk is reduced. Yet, trading limitations hedgers face raise funding requirements. Therefore, some hedgers' funding requirements are higher than those of speculators in the same market.
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Suggested Citation

  • Steven C. Blank, 1990. "Determining futures “hedging reserve” capital requirements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(2), pages 169-177, April.
    • Handle: RePEc:wly:jfutmk:v:10:y:1990:i:2:p:169-177
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    1. Hartzmark, Michael L, 1987. "Returns to Individual Traders of Futures: Aggregate Results," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1292-1306, December.
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