Common asset pricing factors in volatilities and returns in futures markets

Article Abstract:

The general anticipated deviations in the additional returns on assets, are studied, using the asset pricing model. It is observed that the expected unpredictability for S&P500 futures, calculated from factor model, are largely in alignment with the indicated unpredictability in the futures options, meaning that both, the predictions from the factor model and the indicated unpredictability, should be considered for calculations.

United States, Financial instruments

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Optimal clearing margin, capital and price limits for futures clearinghouses

Article Abstract:

A model futures clearing house with optimal level of clearing margin, capital and price limits is presented. The model is suggested for risk management associated with futures clearing houses.

Canada, Management dynamics, Asset & Risk Management, Methods, Management, Risk management, Company business management, Margins (Futures trading)

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Extreme spectral risk measures: an application to futures clearinghouse margin requirements

Article Abstract:

An assessment of extreme spectral risk measures and their utility with respect to margin requirements of futures clearinghouses are discussed.

United Kingdom, Financial Transactions Processing, Reserve, and Clearinghouse Activities, Ireland, Security & commodity services, not elsewhere classified, Venture Analysis, Options Clearing, Analysis, Risk assessment, Financial futures, Risk aversion, Options clearinghouses

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