FUTURES CONTRACTS MARGIN SETTING BY CVAR APPROACH BASED ON EXTREME VALUE THEORY

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FALLAHSHAMS MIRFEIZ; SAGHAFI ALI; NASERPOOR ALIREZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:32 Page(s): 221-238

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Title

FUTURES CONTRACTS MARGIN SETTING BY CVAR APPROACH BASED ON EXTREME VALUE THEORY

Author(s)

FALLAHSHAMS MIRFEIZ | SAGHAFI ALI | NASERPOOR ALIREZA | Issue Writer Certificate

Keywords

GENERAL PARETO DISTRIBUTIONQ2

MARGINQ1

VALUE AT RISKQ1

Abstract

this study, using gold coins spot price returns, in the period from 2008 to 2016, estimates IME gold coin futures contracts Initial MARGIN, by VALUE AT RISK and ConditionalValue at Risk (CVAR) approaches. It use variance-covariance modeles, based on normal and T-student distributions, GENERAL PARETO DISTRIBUTION and adaptive GPD models fore estimating initial MARGIN requerment for futures contracts open positions. Fore VaR moles backtesting, it applies Christoffersen conditonal coverage liklihood ratio(LRcc) test and lopez and Blanco-Ihle loss functions. MAE and RMSE loss functions have been used for Conditional VALUE AT RISK (CVAR) models Evalution. The paper finds that all models have been underperforming in low confidence level and Variance-covariance models based on T-student Distribution and adaptive GPD has outperformed the other models that support the fat tailed nature of gold coin spot price data historical distribution.

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APA: Copy

FALLAHSHAMS, MIRFEIZ, SAGHAFI, ALI, & NASERPOOR, ALIREZA. (2017). FUTURES CONTRACTS MARGIN SETTING BY CVAR APPROACH BASED ON EXTREME VALUE THEORY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(32 ), 221-238. SID. https://sid.ir/paper/197844/en

Vancouver: Copy

FALLAHSHAMS MIRFEIZ, SAGHAFI ALI, NASERPOOR ALIREZA. FUTURES CONTRACTS MARGIN SETTING BY CVAR APPROACH BASED ON EXTREME VALUE THEORY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(32 ):221-238. Available from: https://sid.ir/paper/197844/en

IEEE: Copy

MIRFEIZ FALLAHSHAMS, ALI SAGHAFI, and ALIREZA NASERPOOR, “FUTURES CONTRACTS MARGIN SETTING BY CVAR APPROACH BASED ON EXTREME VALUE THEORY,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 32 , pp. 221–238, 2017, [Online]. Available: https://sid.ir/paper/197844/en

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