Return to results
Conference Proceedings (1995), Research Symposium Proceedings, Chicago Board of Trade, pp. 223-268

Optimal Margin Levels in Futures Markets : A Parametric Extreme-based Method

This paper presents a new method to set margins in futures markets. The extreme Value Theory is used to derive the margin level desired by brokers and the margin committee.

LONGIN, F. (1995). Optimal Margin Levels in Futures Markets : A Parametric Extreme-based Method. In: Research Symposium Proceedings. Chicago Board of Trade, pp. 223-268.