Margin Setting to Short and Long Futures Contract Positions by Coherent Risk Measures

Margin Setting to Short and Long Futures Contract Positions by Coherent Risk Measures

This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compares IME gold coin futures contracts short and long positions initial margin by coherent risk measures, specially Expected Shortfall and spectral risk measures such as Exponential weighting Function an...

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Bibliographic Details
Main Authors: Ali Saghafi, Mir Feyz Fallahshams, Alireza Naserpoor
Format: Article
Language:fas
Published: University of Isfahan 2018-09-01
Series:Journal of Asset Management and Financing
Subjects:
blanco-ihle back test
egarch
expected shortfall
margin
exponential spectral risk measure
Online Access:https://amf.ui.ac.ir/article_21384_19efa2942e3ddf05d1bdeae135af488c.pdf

Internet

https://amf.ui.ac.ir/article_21384_19efa2942e3ddf05d1bdeae135af488c.pdf

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