A clearing houses acting as central counterparty collects collaterals via margin calls to cover a portfolio's market risk. Over the past few years exchange trading volumes in commodity trading and in particular for energy related products have grown massively. At the same time the margin models applied by clearing houses have hardly changed. The margin systems SPAN and TIMS are based on simple calculation methodologies from the 1970s but are still by far the most used systems by clearing houses. This work introduces the concept of copula in which marginal distributions of the single risk factors can be modelled separately from their multivariate dependence structure. It compares a T-copula model and a variation of it, the grouped T-copula, with a Gaussian copula and the TIMS system and proves the superiority of the T-copula models.
Margining Systems For An Energy Exchange (Paperback)
info:
We aim to show you accurate product information. Manufacturers, suppliers and others provide what you see here, and we have not verified it. Â
Specifications
Book format
Paperback
Fiction/nonfiction
Non-Fiction
Pages
108
Edition
Standard Edition
Warranty
Warranty information
Please be aware that the warranty terms on items offered for sale by third party Marketplace sellers may differ from those displayed in this section (if any). To confirm warranty terms on an item offered for sale by a third party Marketplace seller, please use the 'Contact seller' feature on the third party Marketplace seller's information page and request the item's warranty terms prior to purchase.