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- W2024017464 abstract "The introduction of exchange-traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested. The approach is then exemplified with a study of the increasingly popular iTraxx Europe CDS index market. Although this market is not organized through an exchange and is not a futures market, the empirical results together with an arbitrage argument nonetheless suggest margin levels in a future exchange-traded CDS index futures market computed using extreme value theory to be superior to those computed using the traditional normal distribution or the actual historical distribution. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:85–104, 2007" @default.
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- W2024017464 date "2006-01-01" @default.
- W2024017464 modified "2023-09-27" @default.
- W2024017464 title "Back to the future: Futures margins in a future credit default swap index futures market" @default.
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- W2024017464 doi "https://doi.org/10.1002/fut.20234" @default.
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