A practical guide to counterparty risk management and credit value adjustment from a
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …

Futures trading has exploded since 1970. As the number of futures markets has grown and
the number of participants increased, numerous policy questions regarding futures markets …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This paper applies the extreme-value (EV) generalised pareto distribution to the extreme
tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 …

Along with price limits and capital requirements, the margin mechanism ensures the integrity
of futures markets. Margin committees and brokers in futures markets face a trade‐off when …

Does competition among financial intermediaries lead to excessively low standards? To
examine this question, we construct a model where intermediaries design contracts to attract …

Is manipulation possible in the absence of misconduct? This is the foundational inquiry at
the heart of open-market manipulation. Open-market manipulation captures the attention of …

In response to the Global Financial Crisis of 2007–2009, by now, most of the financial
transactions must be cleared through central counterparties operating a dynamic margin …

The relationship between margins and the degree of excessive speculator participation in
futures markets is analyzed. The paper extends previous analyses by assuming that margin …

Futures Contract Margins Page 1 A Comparative Analysis of Futures Contract Margins Gerald
D. Gay* William C. Hunter** Robert W. Kolk*** | recent years, futures markets have received …