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- W2182071390 abstract "I provide a model that a futures clearinghouse could use to set the optimal initial margin and maintenance margin ratio that minimize traders’ costs and the clearinghouse’s default risk. The costs include the opportunity cost of initial margin and the funding liquidity cost of meeting a margin call. The costs and the default risk depend on the initial margin and the maintenance margin ratio, whose optimal values are therefore interrelated. I apply my model to the WTI crude oil futures contract traded on the NYMEX and show that the optimal choice of initial margin depends on the maintenance margin ratio." @default.
- W2182071390 created "2016-06-24" @default.
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- W2182071390 date "2014-01-01" @default.
- W2182071390 modified "2023-09-24" @default.
- W2182071390 title "Optimal Initial Margin and Maintenance Margin for Futures Contracts" @default.
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