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Prudential margin policy in a futures‐style settlement system · Study

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ArticlePrudential margin policy in a futures‐style settlement system

George W. Fenn1993

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Articlegreen1993

Prudential margin policy in a futures‐style settlement system

George W. Fenn · Paul Kupiec

70 citations·0/0 files stored·Journal of Futures Markets

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Banking stability, regulation, efficiency Financial Markets and Investment Strategies Risk Management in Financial Firms

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References

1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1986A theory of price limits in futures markets 1990Clearing and Settlement During the Crash 1984Margins and market integrity: Margin setting for stock index futures and options 1981Margins and futures contracts 1986A comparative analysis of futures contract margins

Cited by

1999Can the Financial Markets Privately Regulate Risk?: The Development of Derivatives Clearinghouses and Recent over-the-Counter Innovations 2015An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications 1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?1999Margin requirements and futures activity: Evidence from the soybean and corn markets 2012Derivatives Clearing, Default Risk, and Insurance 1996Regulatory competition and the efficiency of alternative derivative product margining systems 1994The performance of S&P 500 futures product margins under the SPAN margining system

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2003A theoretical framework to evaluate different margin‐setting methodologiesarticle · 5 shared references 2012Derivatives Clearing, Default Risk, and Insurancearticle · 4 shared references 1994The performance of S&P 500 futures product margins under the SPAN margining systemarticle · 4 shared references 2000Price limits, margin requirements, and default riskarticle · 4 shared references 2001Competition among Exchangesarticle · 3 shared references 1999Optimal margin level in futures markets: Extreme price movementsarticle · 3 shared references

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Year1993

Typearticle

Published1993-06-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations70

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1002/fut.3990130406

openalex_workW1505984933

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2013Advances in the Commodity Futures Literature: A Review