Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "8308"
  #_source: array:26 [
    "id" => "8308"
    "slug" => "optimal-margin-level-in-futures-markets-a-method-based-on-extreme-price-movements"
    "yearMonth" => "1997-04"
    "year" => "1997"
    "title" => "Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements"
    "description" => "LONGIN, F. (1997). <i>Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements</i>. ESSEC Business School."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Cet article développe une nouvelle méthode pour fixer le montant du 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 futures du métal argent échangés au COMEX."
      "en" => "In this paper  a new method for setting the margin level in futures markets is developed. 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 suffer 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 contracts traded on COMEX."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T08:21:48.000Z"
    "docTitle" => "Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements"
    "docSurtitle" => "Documents de travail"
    "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">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements</b><br><span>1997-04 | Documents de travail </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.124419
  +"parent": null
}