Kun Shan University Institutional Repository:Item 987654321/18430
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 26288/26883 (98%)
造访人次 : 10661683      在线人数 : 346
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻

    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ksu.edu.tw/handle/987654321/18430

    题名: Setting margin levels in futures markets: An extreme value method
    作者: Kaoa, Tzu-chuan
    贡献者: Chu-hsiung Lin
    关键词: Extreme value theory
    Margin setting
    Stock index futures
    Value at Risk
    日期: 2010-03-23
    上传时间: 2013-03-12 11:55:04 (UTC+8)
    摘要: There are of course different types of margin requirements in futures clearinghouses, and this study focuses on setting initial and maintenance margin levels. This study provides an approach, the VaR-x method that incorporates a modification of the Hill estimator based on extreme value theory (EVT) into a Student-t distribution, for setting the unconditional and conditional margin levels (i.e. initial and maintenance margin levels). Empirical applications are based on daily data for three stock index futures returns: the FTSE100, Nasdaq100 and Nikkei225. The empirical results demonstrate that given lower probabilities of margin violation, the VaR-x approach to setting unconditional margin levels is more accurate than either the normal approach or the Hill non-parametric approach proposed by Cotter [J. Cotter, Margin exceedences for European Stock Index Futures using extreme value theory, Journal of Banking and Finance 25 (2001) 14751502]. Additionally, this study demonstrates that using the conditional VaR-x approach to setting margin levels can better capture extreme events, thus ensuring adequate prudence, something that is particularly crucial in periods of strong fluctuation. These empirical findings suggest that the proposed approach is very useful to setting the initial and maintenance margin levels.
    显示于类别:[金融管理系] 期刊論文


    档案 描述 大小格式浏览次数
    Setting margin levels in futures markets.pdf1031KbAdobe PDF0检视/开启


    ©Kun Shan University Library and Information Center
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈