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Back to the future: Futures margins in a future credit default swap index futures market

In English

Författare

Summary, in English

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. (c) 2007 Wiley Periodicals, Inc.

Publiceringsår

2007

Språk

Engelska

Sidor

85-104

Publikation/Tidskrift/Serie

Journal of Futures Markets

Volym

27

Issue

1

Dokumenttyp

Artikel i tidskrift

Förlag

John Wiley & Sons Inc.

Ämne

  • Economics

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1096-9934