We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Back to the future: Futures margins in a future credit default swap index futures market.
- Authors
Byström, Hans N. E.
- Abstract
The introduction of exchange-traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested. The approach is then exemplified with a study of the increasingly popular iTraxx Europe CDS index market. Although this market is not organized through an exchange and is not a futures market, the empirical results together with an arbitrage argument nonetheless suggest margin levels in a future exchange-traded CDS index futures market computed using extreme value theory to be superior to those computed using the traditional normal distribution or the actual historical distribution. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:85–104, 2007
- Subjects
MARGINS (Futures trading); FUTURES market; FUTURES; EXTREME value theory; MARKETS
- Publication
Journal of Futures Markets, 2007, Vol 27, Issue 1, p85
- ISSN
0270-7314
- Publication type
Article
- DOI
10.1002/fut.20234