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¿Son adecuados los depósitos de garantía exigidos por MEFF?
José Maria Calderón and Ángel Pardo |
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One of the functions of the Central Clearing Houses (CCH) in futures markets is to organize trading so that contract defaults are minimized. CCHs require that both long and short positions deposit a minimum margin requirement. However, the CCHs have to face the following dilemma: if the margin level is too low, the margin may not be large enough to cover the losses; on the other hand, if the margin level is too high, investors may suffer from paying opportunity costs. This study tries to explain whether margin requirements set by MEFF are appropriate with regard to both their size and their non-discrimination between long and short positions. Empirical results show that the absence of asymmetry in futures margins cannot be rejected. Furthermore, the analysis of the size of the most extreme market movements using CVaR measures shows that, a priori, the high percentages demanded by MEFF cannot be considered as excessive in any series except in the case of Endesa. Additional tests have proved that these results are not affected by overnight risk.
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