Back to the future: Futures margins in a future credit default swap index futures market
(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:
https://lup.lub.lu.se/record/685463
- author
- Byström, Hans LU
- organization
- publishing date
- 2007
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Journal of Futures Markets
- volume
- 27
- issue
- 1
- pages
- 85 - 104
- publisher
- John Wiley & Sons Inc.
- 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
- 2016-04-01 12:30:14
- date last changed
- 2022-01-27 05:59:46
@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 Inc.}}, 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}}, doi = {{10.1002/fut.20234}}, volume = {{27}}, year = {{2007}}, }