Analiza przekroczeń wysokości depozytów zabezpieczających na podstawie kontraktów futures notowanych na GPW w Warszawie
Analysis of margin exceedances on the basis of futures contracts quoted on the Warsaw Stock Exchange

Summary/Abstract: The investment in futures contracts involves the requirement to bring and maintain protection against the default risk in the form of margin. Despite this, the default risk cannot be completely eliminated, because margin deposits cannot fully cover all price changes. The aim of this paper is to analyze this risk based on the extreme value theory. The study indicates that margin requirements are sufficient for investors to guarantee the safety of their transactions in all quoted contracts.

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