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Back to the future: Futures margins in a future credit default swap index futures market

Byström, Hans LU (2007) In Journal of Futures Markets 27(1). p.85-104
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... (More)
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. (c) 2007 Wiley Periodicals, Inc. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Futures Markets
volume
27
issue
1
pages
85 - 104
publisher
John Wiley & Sons
external identifiers
  • wos:000242335400004
  • scopus:33845638003
ISSN
1096-9934
DOI
10.1002/fut.20234
language
English
LU publication?
yes
id
94c070aa-cdf4-4745-a9b2-96a998669dfd (old id 685463)
date added to LUP
2007-12-05 14:41:52
date last changed
2017-01-01 05:12:05
@article{94c070aa-cdf4-4745-a9b2-96a998669dfd,
  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. (c) 2007 Wiley Periodicals, Inc.},
  author       = {Byström, Hans},
  issn         = {1096-9934},
  language     = {eng},
  number       = {1},
  pages        = {85--104},
  publisher    = {John Wiley & Sons},
  series       = {Journal of Futures Markets},
  title        = {Back to the future: Futures margins in a future credit default swap index futures market},
  url          = {http://dx.doi.org/10.1002/fut.20234},
  volume       = {27},
  year         = {2007},
}