Munich Personal RePEc Archive
metadata only
Margin Exceedences for European Stock Index Futures using Extreme Value Theory
Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection of stock index futures traded on European exchanges. The theoretical framework
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Modelling catastrophic risk in international equity markets: An extreme value approach#1275495
- Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market#164071
- Hedging Effectiveness under Conditions of Asymmetry#1275489
- Network Valuation in Euro Area Syndicated and Interbank Loan Markets#130803
- Portfolio performance evaluation of institutional investors: An empirical investigation of selection ability via the levels of institutional ownership, risks, firm size, and R&D expenditures#958317
Record · ID 1275516
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive