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The performance of S&P 500 futures product margins under the SPAN margining system

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  • Paul H. Kupiec

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  • Paul H. Kupiec, 1994. "The performance of S&P 500 futures product margins under the SPAN margining system," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(7), pages 789-811, October.
    • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:7:p:789-811
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    Cited by:

    1. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
    2. 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.
    3. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani, 2016. "Systemic Risks in CCP Networks," Papers 1604.00254, arXiv.org.
    5. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
    6. Peter Fortune, 2003. "Margin requirements across equity-related instruments: how level is the playing field?," New England Economic Review, Federal Reserve Bank of Boston, pages 31-50.
    7. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
    8. Selma Chaker & Nour Meddahi, 2013. "CoMargin," Staff Working Papers 13-47, Bank of Canada.

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