Analysis of margin exceedances on the basis of futures contracts quoted on the Warsaw Stock Exchange Cover Image

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

Author(s): Krzysztof Echaust
Subject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: margin level; default risk; GPD distribution; extreme value theory

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.

  • Issue Year: 2012
  • Issue No: 254
  • Page Range: 52-60
  • Page Count: 9
  • Language: Polish