Futures portfolio margin model and its application

MaRDI QIDQ3403032zbMATH OpenFDO

Authors Xijun Cheng, Shoukun Xu

Publication date 12 February 2010

zbMATH Keywords

correlation coefficientfutures portfolio marginkernel density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(1)

• Application of extreme value theory to futures margin levels setting

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