Browsing College of Business and Law by Subject "Stock index futures"

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Conditional and unconditional risk management estimates For European Stock Index Futures

Cotter, John (Global Association of Risk Professionals, 2000)

Accurate forecasting of risk is the key to successful risk management techniques. Correct modelling of a variable's extreme values located at the distributional tails accounting for the fat-tail phenomena is paramount, and ...
Margin exceedences for European stock index futures using extreme value theory

Cotter, John (Elsevier Science, 2001-08)

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 ...