CFP last date
20 May 2024
Call for Paper
June Edition
IJCA solicits high quality original research papers for the upcoming June edition of the journal. The last date of research paper submission is 20 May 2024

Submit your paper
Know more
The week's pick
Responsive image
Enhancing Privacy Preservation: Multi-Attribute Protection with P-Sensitive K-Anonymity

Twinkle Patel Kiran Amin
Random Articles
Reseach Article

Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements

by Serkan Kaba, Murat ACAR
journal cover thumbnail

International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 32 - Number 7
Year of Publication: 2011
Authors: Serkan Kaba, Murat ACAR
10.5120/3918-5516

Serkan Kaba, Murat ACAR . Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements. International Journal of Computer Applications. 32, 7 ( October 2011), 34-40. DOI=10.5120/3918-5516

@article{ 10.5120/3918-5516,
author = { Serkan Kaba, Murat ACAR },
title = { Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements },
journal = { International Journal of Computer Applications },
issue_date = { October 2011 },
volume = { 32 },
number = { 7 },
month = { October },
year = { 2011 },
issn = { 0975-8887 },
pages = { 34-40 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume32/number7/3918-5516/ },
doi = { 10.5120/3918-5516 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T20:18:35.040513+05:30
%A Serkan Kaba
%A Murat ACAR
%T Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements
%J International Journal of Computer Applications
%@ 0975-8887
%V 32
%N 7
%P 34-40
%D 2011
%I Foundation of Computer Science (FCS), NY, USA
Abstract

In this paper, we focus on designing a real-time risk management system. The system will be using CME SPAN and will consist of a multithreaded daemon process to evaluate portfolios using SPAN calculation engines and programs to determine parameters fed to SPAN. SPAN parameters can be estimated by several methods using historical data. One of the goals is to determine the best method for each parameter for every asset class. The other goal is to develop a responsive system to analyze portfolios and orders in real-time and to update the portfolio risks accordingly. Ultimately when these two parts are combined, we’ll be constructing a real-time system to evaluate portfolio risks and to determine optimum margin requirements.

References
  1. Tapiero C., Risk and Financial Management: Mathematical and Computational Methods, John Wiley & Sons Ltd, ISBN: 0-470-84908-8, 2004.
  2. Bodnar G. M., Hayt G. S., Marston R. C., "1998 Wharton Survey of Financial Risk Management by US Non-Financial Firms," Financial Management, Vol. 27, No. 4, pp. 70-91, 1998.
  3. Basak S., Shapiro A., “Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,” The Review of Financial Studies, Vol. 14, No. 2, pp. 371-405, 2001.
  4. Telser L. G., “Margins and Futures Contracts,” The Journal of Futures Markets, Vol. 1, No. 2, pp. 225-253, 1981.
  5. Longin F., “Optimal Margin Level in Futures Markets: Extreme Price Movements,” The Journal of Futures Markets, Vol. 19, No. 2, pp. 127-152, 1999.
  6. Knott R., Mills A., "Modeling risk in central counterparty clearing houses: a review", Financial Stability Review, December, pp. 162-174, 2002.
  7. General Information about Istanbul Stock Exchange. Available: www.ise.org. Retrieved: March 07, 2011.
  8. Introductory information and outline about what SPAN is and how it works. Available: http://www.cmegroup. com/clearing/risk-management/span-overview.html. Retrieved: April 23, 2011.
  9. Bear R. M., “Margin Levels and the Behavior of Futures Prices,” Journal of Financial and Quantitative Analysis, Vol. 7, No. 4, pp. 1907-1930, 1972.
  10. Fishe R. P. H., Goldberg L. G., “Margin requirement in futures markets: Their relationship to price volatility,” The Journal of Futures Markets, Vol. 6, No. 2, pp. 261-271, 1986.
  11. Furbush D., Poulsen A., “Harmonizing Margins: The Regulation of Margin Levels in Stock Index Futures Markets,” Cornell Law Review, 74, pp. 873-901, 1989.
  12. Dutt H. R., Wein, I. L, “Revisiting the empirical estimation of the effect of margin changes on futures trading volume,” The Journal of Futures Markets, Vol. 23, No. 6, pp. 561-576, 2003.
  13. Figlewski S., “Margins and market integrity: Margin setting for stock index futures and options,” The Journal of Futures Markets, Vol. 4, No. 3, pp. 385-416, 1984.
  14. Gay G. D., Hunter W. C., Kolb R. W. “A comparative analysis of futures contract margins,” The Journal of Futures Markets, Vol. 6, No. 2, pp. 307-324, 1986.
  15. Tomek W. G., “Margins on Futures Contracts: Their Economic Roles and Regulation”, in A. Peck(Ed,), Futures Markets: Regulatory Issues, American Enterprise Institute, 1985.
  16. Edwards F. R., Neftci S. N., “Extreme price movements and margin levels in futures markets,” The Journal of Futures Markets, Vol. 8, No. 6, pp. 639-655, 1988.
  17. Harmantzis F. C., Miao L., Chien Y., “Empirical study of value-at-risk and expected shortfall models with heavy tails,” The Journal of Risk Finance, Vol. 7, No. 2, pp. 117-135, 2006.
  18. Hull J. C., Fundementals of Futures and Options Markets, Pearson Prentice Hall, ISBN: 0-13-224226-5, 2008.
  19. Bollerslev T., “Generalized Auto-regressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, pp. 307-327
  20. Nelson D. B., “Conditional heteroskedasticity in asset returns: A new approach,” The Journal of Futures Markets, Vol. 59, No. 2, pp. 347-370, 1991.
  21. Engle R. F., Manganelli S., “CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,” Journal of Business & Economic Statistics, Vol. 22, No. 4, pp. 367-381, 2004.
Index Terms

Computer Science
Information Sciences

Keywords

Financial risk management Derivatives Portfolio analysis Estimation methods SPAN

Powered by PhDFocusTM