We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Assessing central counterparty margin coverage on futures contracts using GARCH models.
- Authors
Knott, Raymond; Polenghi, Marco
- Abstract
The article investigates some key aspects of risk control in central counterparties (CCPs), which assist to safeguard market participants against counterparty default of the financial market's associated infrastructure. CCPs usually choose the appropriate level of initial margin by examining the historical distribution of price movements. A model that can be utilized to assess the coverage offered by initial margins is described.
- Subjects
DEFAULT (Finance); LOSS control; FINANCIAL markets; BREACH of contract; FINANCE
- Publication
Bank of England Quarterly Bulletin, 2006, Vol 46, Issue 1, p78
- ISSN
0005-5166
- Publication type
Article