Dynamic margin optimization

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-08-23 DOI:10.1016/j.frl.2024.105999

引用次数: 0

Abstract

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 setting mechanism. High margin calls can reduce counterparty risk in a turbulent market, but at the same time, increase liquidity risk and escalate systemic risk. In this paper, we construct a theoretical model to address this challenge, deriving an optimal margin setting policy framed as a stochastic control problem. Our analysis reveals that an adaptive, countercyclical approach is superior to a purely risk-sensitive strategy, primarily by minimizing the expected loss for the clearing institution.

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动态边际优化

为应对 2007-2009 年全球金融危机，到目前为止，大多数金融交易都必须通过中央交易对手方进行清算，并采用动态保证金设定机制。高额追加保证金可以降低动荡市场中的交易对手风险，但同时也会增加流动性风险，加剧系统性风险。在本文中，我们构建了一个理论模型来应对这一挑战，并推导出一个最优保证金设置政策，将其视为一个随机控制问题。我们的分析表明，适应性反周期方法优于纯粹的风险敏感策略，主要是通过最大限度地减少清算机构的预期损失。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance

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