A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets
The Chinese commodity futures markets neglect the existence of the risk hedge and diversification between futures contracts, thus leading to overcharge futures portfolio holders’ maintenance margins. To this end, this paper proposes a new method, namely, the multivariate t-Copula-POT-PSRM method, wh...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/325975 |
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