Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "2161"
  #_source: array:26 [
    "id" => "2161"
    "slug" => "optimal-margin-level-in-future-markets-extreme-price-movements"
    "yearMonth" => "1999-04"
    "year" => "1999"
    "title" => "Optimal Margin Level in Future Markets: Extreme Price Movements"
    "description" => "LONGIN, F. (1999). Optimal Margin Level in Future Markets: Extreme Price Movements. <i>Journal of Futures Markets</i>, pp. 127-152."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "127-152"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Je développe une nouvelle méthode pour fixer le montant de dépôt de garantie demandé aux investisseurs pour leurs transactions sur les marchés dérivés. La théorie des valeurs extrêmes est utilisée pour calculer ce montant en fonction de la probabilité de violation de marge désirée par les intermédiaires financiers. Les mouvements extrêmes sont au coeur de ce problème puisque seule une grande fluctuation des prix peut engendrer des pertes pour les intermédiaires financiers. La partie empirique utilise des prix sur les contrats futurs du métal argent échangés au COMEX."
      "en" => "In this paper I develop a new method of setting the margin level in future markets. Extreme value theory is used to derive the margin level for a given probability of margin violation desired by margin committees or brokers. Extreme movements are central to the problem of margin setting since only a large price variation may cause brokers to incur losses. The method takes into account the appropriate amount of extremes in the distribution of price changes and provides a simple analytical formula to compute the margin level. I also present an empirical study using prices of the silver futures contract traded on COMEX."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-16T08:22:05.000Z"
    "docTitle" => "Optimal Margin Level in Future Markets: Extreme Price Movements"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>"
    "docDescription" => "<span class="document-property-authors">LONGIN François</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1999</span>"
    "keywordList" => ""
    "docPreview" => "<b>Optimal Margin Level in Future Markets: Extreme Price Movements</b><br><span>1999-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Optimal Margin Level in Future Markets: Extreme Price Movements</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.160939
  +"parent": null
}