✦ LIBER ✦
The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting
✍ Scribed by John Paul Broussard; G.Geoffrey Booth
- Book ID
- 104339474
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 715 KB
- Volume
- 104
- Category
- Article
- ISSN
- 0377-2217
No coin nor oath required. For personal study only.
✦ Synopsis
Recent defaults and large financial losses attributed to derivative security investing point to an area of finance not often researched, i.e. the probabilities of observing extreme occurrences. This paper examines this behavior for German stock index futures (FDAX) contracts. Its empirical results indicate that large FDAX intradaily price changes follow a Frrchet extreme value distribution and the extreme value distribution probabilities may be confidently used to help set intradaily margin levels.