Price limits and capital requirements of futures clearinghouses

DOI10.1016/J.EJOR.2004.07.007MaRDI QIDQ2569022zbMATH OpenOpenAlexFDO

Authors Latha Shanker, Narayanaswamy Balakrishnan

Publication date 17 October 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.07.007

zbMATH Keywords

capital requirementsfutures clearinghousesprice limits

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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• A parsimonious parametric model for generating margin requirements for futures
• Firm capital dynamics in centrally cleared markets

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