IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v57y2022i3p1142-1173_11.html
   My bibliography  Save this article

Systemic Risk and Collateral Adequacy: Evidence from the Futures Market

Author

Listed:
  • Raykov, Radoslav

Abstract

Conventional collateral requirements for derivatives are conservative, but not explicitly designed to buffer systemic risk. I explore collateral adequacy against systemic risk in the Canadian futures market during the 2008 crisis. I find that conventional collateral levels adequately absorb systemic risk, even allowing for an implausibly high level of stress, and that systemic risk spillovers do not exceed the effect of an approximately 1% downward stock price move. I also document that the largest systemic risk contributors are buffered relatively less than the rest, and that there is a large cross-country difference in the behavior of U.S. and Canadian institutions.

Suggested Citation

  • Raykov, Radoslav, 2022. "Systemic Risk and Collateral Adequacy: Evidence from the Futures Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(3), pages 1142-1173, May.
    • Handle: RePEc:cup:jfinqa:v:57:y:2022:i:3:p:1142-1173_11
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S002210902100017X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:57:y:2022:i:3:p:1142-1173_11. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.