Margin Requirements with Intraday Dynamics
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References listed on IDEAS
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More about this item
KeywordsARCH process; clearinghouse; exchange; extreme value theory; futures markets; highfrequency data; intraday dynamics; margin requirements; model risk; risk management; stress testing; value at risk.;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-MST-2011-07-02 (Market Microstructure)
- NEP-RMG-2011-07-02 (Risk Management)
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