@article{CoMargin:1672,
      recid = {1672},
      author = {Lopez, Jorge Cruz and Harris, Jeffrey H. and Hurlin,  Christophe and Pérignon, Christophe},
      title = {CoMargin},
      address = {2013},
      pages = {1 online resource (iv, 58 pages)},
      abstract = {We present CoMargin, a new methodology to estimate  collateral requirements for central counterparties (CCPs)  in derivatives markets. CoMargin depends on both the tail  risk of a given market participant and its interdependence  with other participants. Our approach internalizes market  interdependencies and enhances the stability of CCPs,  thereby reducing the systemic risk concerns associated with  them. CoMargin can be estimated using a model-free and  scenario-based methodology, validated using formal  statistical tests, and generalized to any number of market  participants. We assess and illustrate our methodology  using proprietary data from the Canadian Derivatives  Clearing Corporation (CDCC). Our data set, the first one of  its kind to be used in an academic study, includes daily  observations of the actual trading positions of all CDCC  members from 2003 to 2011. We show theoretically and  empirically that CoMargin outperforms existing margining  systems by stabilizing the probability and minimizing the  shortfall of simultaneous margin-exceeding losses. The  relative performance of our methodology increases when  trading similarities across clearing members or  co-movements among underlying assets increase, as was the  case during the recent financial crisis.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1672},
      doi = {https://doi.org/10.34989/swp-2013-47},
}