Adjusting Margin and Risk
Author :
Publisher :
Page : pages
File Size : 43,49 MB
Release : 2010
Category :
ISBN :
Extensive Margin Adjustment of Multi-Product Firm and Risk Diversification
Author : Carlos Carvalho
Publisher : International Monetary Fund
Page : 44 pages
File Size : 18,95 MB
Release : 2017-06-30
Category : Business & Economics
ISBN : 148430702X
Book Description
Product scope adjustment is a key mechanism through which multi-product firms achieve efficient resource allocations. In this paper, we take a novel perspective to study firms’ product scope adjustment behavior through the lens of asset pricing. Using a unique panel scanner data set containing detailed information on products, matched with the financial information of their manufacturers, we find that multi-product firms with higher product turnover have lower financial risks and lower risk premia. To understand this channel, we propose a stylized model with a time-dependent (Calvo-type) product turnover rate to highlight the ’risk absorption channel’ of product scope adjustment. In response to an economy-wide shock, a firm that can adjust its product scope more flexibly shows lower excess equity returns and lower asset volatility.
Adjusting Margin and Risk
Author : Carley Garner
Publisher :
Page : 18 pages
File Size : 23,92 MB
Release : 1900
Category :
ISBN :
Book Description
Use futures and options to reduce margin requirements and alleviate margin calls-without liquidating holdings or adding funds to your trading account! Margin calls are the necessary evil of trading leveraged instruments. Without margin, speculators would be subject to substantial default risk in addition to the risk of market losses. Unfortunately, many traders allow the fear of a margin call to drive their strategy. Margin calls don't have to be a horrifying experience. There are tactics you can use to avoid them-or avoid scrambling to meet them.
Margin Changes and Futures Trading Activity
Author : Antonis A. Aristidou
Publisher :
Page : 46 pages
File Size : 17,78 MB
Release : 2008
Category :
ISBN :
Book Description
The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate GARCH-M models to take account of the inter-relationships and applies them to the Greek derivatives market over the period 1999-2005. The results show that when adjusting margins for market risk there is no impact on trading volume, casting doubts on the results of previous research, and providing support for the view that margin requirements are used only as a mechanism to prevent trader default.
An Estimation Model for Futures Contract Margin Requirements
Author : Betsey Epstein Kuhn
Publisher :
Page : 300 pages
File Size : 47,98 MB
Release : 1976
Category : Commodity exchanges
ISBN :
Book Description
Margin Setting with High-Frequency Data
Author : John Cotter
Publisher :
Page : 33 pages
File Size : 27,35 MB
Release : 2007
Category :
ISBN :
Book Description
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, financial markets have recently shown high intraday volatility, which could bring more risk than expected. This paper tries to answer two questions relevant for margin committees in practice: is it right to compute margin levels based on closing prices and ignoring intraday dynamics? Is it justified to implement intraday margin calls? The paper focuses on the impact of intraday dynamics of market prices on daily margin levels. Daily margin levels are obtained in two ways: first, by using daily price changes defined with different time-intervals (say from 3 pm to 3 pm on the following trading day instead of traditional closing times); second, by using 5-minute and 1-hour price changes and scaling the results to one day. Our empirical analysis uses the FTSE 100 futures contract traded on LIFFE.
The Effects of Margin Changes on Commodity Futures Markets
Author : Charoula Daskalaki
Publisher :
Page : pages
File Size : 43,11 MB
Release : 2016
Category :
ISBN :
Book Description
In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they impair the risk sharing function and they decrease market liquidity in certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account. Certain effects of margin changes diffuse across related markets though. Our results are robust to endogenously set margins by the exchanges and to alternative ways of measuring market liquidity. Interestingly, the effect of margin changes is more pronounced in commodity futures markets than in major equity and interest rate futures markets.
Margin Requirements, Risk Taking, and Multifactor Models
Author : Ferhat Akbas
Publisher :
Page : 68 pages
File Size : 42,52 MB
Release : 2019
Category :
ISBN :
Book Description
When investors anticipate the Fed increasing margin requirements, they bid up the riskier stocks in the long legs of hedge portfolios associated with the market, HML, and SMB factors relative to the less risky stocks in the short legs. Following such a policy change, the returns on these hedge portfolios decline, implying lower subsequent compensation for bearing the risk associated with these three factors. In contrast, margin requirements are unrelated to returns on the momentum factor. Our evidence suggests that investors adjust their risk exposures to the market, SMB, and HML factors when leverage constraints are changed, but not momentum.
Clearing House, Margin Requirements, and Systemic Risk
Author : Jorge Cruz Lopez
Publisher :
Page : 17 pages
File Size : 34,69 MB
Release : 2018
Category :
ISBN :
Book Description
Margins are the major safeguards against default risk on a derivatives exchange. When the clearing house sets margin requirements, it does so by only focusing on individual clearing firm positions (e.g., the SPAN system). We depart from this traditional approach and present an alternative method that accounts for inter-dependencies among clearing members when setting margins. Our method generalizes the SPAN system by allowing individual margins to increase when clearing firms are more likely to be in financial distress simultaneously.
Margins, Debt Capacity, and Systemic Risk
Author : Sirio Aramonte
Publisher :
Page : 0 pages
File Size : 26,47 MB
Release : 2023
Category :
ISBN :
