Margin Backtesting

Christophe Hurlin (1) , Christophe Pérignon (2)

1 LEO - Laboratoire d'économie d'Orleans [2008-2011]
2 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which are defined as situations in which the trading loss of a market participant exceeds his or her margin. We also propose an original way to validate globally the margining system by aggregating individual backtesting statistics obtained for each market participant.

Mots clés: Collateral Requirements; Futures Markets; Tail Risk; Derivatives Clearing

Domaines: Economies et finances

Christophe Hurlin, Christophe Pérignon. Margin Backtesting. 2012. ⟨halshs-00746274⟩