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Margining Systems For An Energy Exchange: a copula based approach - Couverture souple

Keppeler, Marcus

 
9783639346268: Margining Systems For An Energy Exchange: a copula based approach
Couverture souple
ISBN 10 : 3639346262 ISBN 13 : 9783639346268
Editeur : VDM Verlag Dr. Müller, 2011

Synopsis

A clearing houses acting as central counterparty collects collaterals via margin calls to cover a portfolio's market risk. Over the past few years exchange trading volumes in commodity trading and in particular for energy related products have grown massively. At the same time the margin models applied by clearing houses have hardly changed. The margin systems SPAN and TIMS are based on simple calculation methodologies from the 1970s but are still by far the most used systems by clearing houses. This work introduces the concept of copula in which marginal distributions of the single risk factors can be modelled separately from their multivariate dependence structure. It compares a T-copula model and a variation of it, the grouped T-copula, with a Gaussian copula and the TIMS system and proves the superiority of the T-copula models.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

A clearing houses acting as central counterparty collects collaterals via margin calls to cover a portfolio's market risk. Over the past few years exchange trading volumes in commodity trading and in particular for energy related products have grown massively. At the same time the margin models applied by clearing houses have hardly changed. The margin systems SPAN and TIMS are based on simple calculation methodologies from the 1970s but are still by far the most used systems by clearing houses. This work introduces the concept of copula in which marginal distributions of the single risk factors can be modelled separately from their multivariate dependence structure. It compares a T-copula model and a variation of it, the grouped T-copula, with a Gaussian copula and the TIMS system and proves the superiority of the T-copula models.

Biographie de l'auteur

Marcus Keppeler was born in 1980 in Ravensburg, Germany. He graduated from the University of Konstanz in 2006 with a diploma in Mathematical Finance. He is currently working as a Risk Analyst in London, United Kingdom.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2011
Langue
anglais
ISBN 10 
3639346262
ISBN 13 
9783639346268
Reliure
Broché
Nombre de pages
108
Coordonnées du fabricant
non disponible
Personne responsable
non disponible