Futures Margin Requirement: A Comparison of Value-At-Risk with Expected Shortfall Measures

Lan-Chih Ho ； Min-Teh Yu ； Po-Han Chen

《Advances in Financial Planning and Forecasting》 3期 (2008/03) Pp. 211-234

https://doi.org/10.6292/AFPF.2008.03.09

並列摘要

This article empirically investigates the sufficiency of VaR-based and ES-based margin requirements in financial index futures contracts. The VaR-based margin levels generated from the generalized extreme value (GEV) distribution using the block maxima method significantly increase as the block lengthens, which makes it difficult to set the daily margin requirement. The ES-based margin levels calculated by the generalized Pareto distribution (GPD) with the peaks over threshold method are more stable across various threshold values. The back-testing performance between the two measures of margin requirement is similar in terms of a high confidence level and a large number of observations, while the ES-based margin levels come with smaller errors.

並列關鍵字

Margin requirement ； Value-at-risk ； Expected shortfall ； Extreme value theory

參考文獻

Acerbi, C., Nordio, C., & Sirtori, C. (2001). Expected shortfall as a tool for financial risk management. Working paper. Abaxbank, Milano, Italy.

Adrangi, B.,Chatrath, A.(1999).Margin requirements and futures activity: Evidence from the soybean and corn markets.The Journal of Futures Markets.19,433-455.

Artzner, P.,Delbaen, F.,Eber, J. M.,Heath, D.(1997).Thinking coherently.Risk.10(11),68-71.

Artzner, P.,Delbaen, F.,Eber, J. M.,Heath, D.(1999).Coherent measures of risk.Mathematical Finance.9(3),203-228.

Bali, T. G.(2003).An extreme value approach to estimating volatility and value at risk.Journal of Business.76(1),83-108.