Opportunity cost and prudentiality: an analysis of futures clearinghouse behavior
Herbert L. Baer, Virginia Grace France, James T. Moser, World Bank. Policy Research Dept. Finance and Private Sector Development Division
World Bank, Policy Research Dept., Finance and Private Sector Development Division, 1994 - Business & Economics - 45 pages
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amount of margin assume bilateral bilateral netting borrowing costs British Pound Chicago Mercantile Exchange clearing members clearinghouse behavior clearinghouse members clearinghouses set margin collateral cost of funds cost of margin denoted Deutschemark dollar volatility economize on margin equation 20 Eurodollar examination exceeds expected deadweight loss Fenn and Kupiec financial condition firms futures clearinghouse futures contracts futures exchanges implied standard deviation Implied volatilities increasing opportunity cost initial margin Japanese Yen level of margin margin coverage ratios margin deposits margin levels margin requirements margin setting marginal cost marginal opportunity cost market participants membership is valuable minimize negative correlation nonmember speculative number of contracts optimal margin posted margin potential defaulter predicted prime rate probability of default proxies quartiles reduce regressions required margin result risk management sample date SLOC speculative margin substitute for margin supply of external threat of expulsion Treasury bill Treasury Bond unencumbered assets k(j value of membership Whaley York Mercantile Exchange