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Prudent Margin Levels in the Finnish Stock Index Futures Market

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References

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1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes250 cited
1981Why There Are Organized Futures Markets172 cited
1984Margins and market integrity: Margin setting for stock index futures and options135 cited
1981Margins and futures contracts127 cited
1992Differences between foreign exchange rate regimes: The view from the tails82 cited
1986A comparative analysis of futures contract margins71 cited

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2001Extreme-value and margin setting with and without price limits29 cited
2007Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements27 cited
2017CoMargin26 cited
2003A theoretical framework to evaluate different margin‐setting methodologies25 cited

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