Adjusting Margin And Risk
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Adjusting Margin And Risk
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Author :
language : en
Publisher:
Release Date : 2010
Adjusting Margin And Risk written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Adjusting Margin And Risk
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Author : Carley Garner
language : en
Publisher:
Release Date : 1900
Adjusting Margin And Risk written by Carley Garner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1900 with categories.
Use futures and options to reduce margin requirements and alleviate margin calls-without liquidating holdings or adding funds to your trading account! Margin calls are the necessary evil of trading leveraged instruments. Without margin, speculators would be subject to substantial default risk in addition to the risk of market losses. Unfortunately, many traders allow the fear of a margin call to drive their strategy. Margin calls don't have to be a horrifying experience. There are tactics you can use to avoid them-or avoid scrambling to meet them.
Extensive Margin Adjustment Of Multi Product Firm And Risk Diversification
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Author : Carlos Carvalho
language : en
Publisher: International Monetary Fund
Release Date : 2017-06-30
Extensive Margin Adjustment Of Multi Product Firm And Risk Diversification written by Carlos Carvalho and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-30 with Business & Economics categories.
Product scope adjustment is a key mechanism through which multi-product firms achieve efficient resource allocations. In this paper, we take a novel perspective to study firms’ product scope adjustment behavior through the lens of asset pricing. Using a unique panel scanner data set containing detailed information on products, matched with the financial information of their manufacturers, we find that multi-product firms with higher product turnover have lower financial risks and lower risk premia. To understand this channel, we propose a stylized model with a time-dependent (Calvo-type) product turnover rate to highlight the ’risk absorption channel’ of product scope adjustment. In response to an economy-wide shock, a firm that can adjust its product scope more flexibly shows lower excess equity returns and lower asset volatility.
Margin Changes And Futures Trading Activity
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Author : Antonis A. Aristidou
language : en
Publisher:
Release Date : 2008
Margin Changes And Futures Trading Activity written by Antonis A. Aristidou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate GARCH-M models to take account of the inter-relationships and applies them to the Greek derivatives market over the period 1999-2005. The results show that when adjusting margins for market risk there is no impact on trading volume, casting doubts on the results of previous research, and providing support for the view that margin requirements are used only as a mechanism to prevent trader default.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Margin Setting By Central Counterparties Of Over The Counter Derivatives
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Author : Chen Zhang
language : en
Publisher:
Release Date : 2019
Margin Setting By Central Counterparties Of Over The Counter Derivatives written by Chen Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Regulation of the over-the-counter (OTC) derivatives market since the financial crisis of 2008 has had the objective of reducing risks within this marketplace. OTC derivatives are now cleared through central clearing counterparties (CCPs), and one tool of the CCPs is to set adequate margin requirements for their clearing members. In this thesis, I address the obligations of CCPs and the effect of risk management using margin requirements. I develop the methodology of margin setting using a historical simulation and evaluate the resulting risk-based margin requirements for interest rate swaps. I also address an important aspect of margin-setting which is margin procyclicality, under which margin requirements are increased in stressed markets resulting in an increased risk of default on margin calls as well as feedback effects on the underlying assets of clearing members.
Margin Requirements Risk Taking And Multifactor Models
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Author : Ferhat Akbas
language : en
Publisher:
Release Date : 2019
Margin Requirements Risk Taking And Multifactor Models written by Ferhat Akbas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
When investors anticipate the Fed increasing margin requirements, they bid up the riskier stocks in the long legs of hedge portfolios associated with the market, HML, and SMB factors relative to the less risky stocks in the short legs. Following such a policy change, the returns on these hedge portfolios decline, implying lower subsequent compensation for bearing the risk associated with these three factors. In contrast, margin requirements are unrelated to returns on the momentum factor. Our evidence suggests that investors adjust their risk exposures to the market, SMB, and HML factors when leverage constraints are changed, but not momentum.
Counterparty Credit Risk And Credit Value Adjustment
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Author : Jon Gregory
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-07
Counterparty Credit Risk And Credit Value Adjustment written by Jon Gregory and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-07 with Business & Economics categories.
A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Please note that this second edition of Counterparty Credit Risk and Credit Value Adjustment has now been superseded by an updated version entitled The XVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital. Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an unavoidable issue for every financial institution. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control the rapid growth of counterparty risk. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.
Margin Setting With High Frequency Data
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Author : John Cotter
language : en
Publisher:
Release Date : 2007
Margin Setting With High Frequency Data written by John Cotter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, financial markets have recently shown high intraday volatility, which could bring more risk than expected. This paper tries to answer two questions relevant for margin committees in practice: is it right to compute margin levels based on closing prices and ignoring intraday dynamics? Is it justified to implement intraday margin calls? The paper focuses on the impact of intraday dynamics of market prices on daily margin levels. Daily margin levels are obtained in two ways: first, by using daily price changes defined with different time-intervals (say from 3 pm to 3 pm on the following trading day instead of traditional closing times); second, by using 5-minute and 1-hour price changes and scaling the results to one day. Our empirical analysis uses the FTSE 100 futures contract traded on LIFFE.
An Estimation Model For Futures Contract Margin Requirements
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Author : Betsey Epstein Kuhn
language : en
Publisher:
Release Date : 1976
An Estimation Model For Futures Contract Margin Requirements written by Betsey Epstein Kuhn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Commodity exchanges categories.