00000nam 2200000zi 4500 9.950408 CaOODSP 20250430132322 m o d f cr mn||||||||| 250411t20242024oncad ob f|0| 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2024-46E-PDF Raykov, Radoslav S., author. Is this normal? : the cost of assuming that derivatives have normal returns / by Radoslav Raykov. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (ii, 43 pages) : illustrations, graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-46 ISSN assigned to different series. "Last updated: November 26, 2024." Includes bibliographical references (pages 40-43). "Derivatives exchanges often determine collateral requirements, which are fundamental to market safety, with dated risk models assuming normal returns. However, derivatives returns are heavy-tailed, which leads to the systematic under-collection of collateral (margin). This paper uses extreme value theory (EVT) to evaluate the cost of this margin inadequacy to market participants in the event of default"--Abstract, page ii. Includes abstract in French. Financial institutions Canada. Financial institutions Canada Econometric models. Institutions financières Canada. Institutions financières Canada Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2024-46. (CaOODSP)9.806221 PDF 1.85 MB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2024-46-eng.pdf