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Is this normal? : the cost of assuming that derivatives have normal returns / by Radoslav Raykov.: FB3-5/2024-46E-PDF

"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.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.950408&sl=0

Publication information
Department/Agency
  • Bank of Canada, issuing body.
TitleIs this normal? : the cost of assuming that derivatives have normal returns / by Radoslav Raykov.
Series title
  • Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-46
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • ISSN assigned to different series.
  • "Last updated: November 26, 2024."
  • Includes bibliographical references (pages 40-43).
  • Includes abstract in French.
Publishing information
  • [Ottawa] : Bank of Canada = Banque du Canada, 2024.
  • ©2024
Author / Contributor
  • Raykov, Radoslav S., author.
Description1 online resource (ii, 43 pages) : illustrations, graphs.
Catalogue number
  • FB3-5/2024-46E-PDF
Subject terms
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