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1、Pleasedonotquotewithoutauthors’consent.ATheoreticalFrameworktoEvaluateDifferentMargin-SettingMethodologiesaKinLambChor-yiuSincRicoLeungaHongKongBaptistUniversity,DeptofFinanceandDecisionSciences,SchoolofBusiness,WaterlooRoad,KowloonTong,HongKong,Tel:(852)341150
2、07,Fax:(852)23395585,e-mail:lamkin@hkbu.edu.hkbHongKongBaptistUniversity,DeptofEconomics,SchoolofBusiness,WaterlooRoad,KowloonTong,HongKong,Tel:(852)34115200,Fax:(852)34115580,e-mail:cysin@hkbu.edu.hkcthSecuritiesandFuturesCommission,SupervisionofMarketsDivisio
3、n,12Floor,EdinburghTower,TheLandmark,15Queen’sRoadCentral,HongKong.Tel:(852)28409357Fax:(852)25217917,e-mail:rleung@hksfc.org.hk(TheviewexpressedinthispaperdoesnotrepresentanyviewoftheSecuritiesandFuturesCommission)bCorrespondingauthorThisversion:October26,2002
4、AbstractThemarginsystemistheclearinghouse’sfirstlineofdefenseagainstdefaultrisk.Fromtheperspectivesofaclearinghouse,theutmostconcernistohaveaprudentialsystemtocontrolthedefaultexposure.Oncethelevelofprudentialityissetthenextconcernoftheclearinghouseisovercharge
5、.Itisbecausehigheristheovercharge,greateristheinvestor’sopportunitycostofinvestinginthefuturesmarket.Inthispaper,wedevelopdifferentmeasuresofprudentialityandovercharge.Wethenformulateatheoreticalframeworktoevaluatedifferentmarginsettingmethodologies.Threemargin
6、-settingmethodologies,namely,oneusingsimplemovingaverages,oneusingexponentiallyweightedmovingaverages,andtheotherusingaGARCHapproach,areappliedtotheHangSengIndexFuturesandarecomparedunderourtheoreticalframework.Keepingthesameprudentialitylevel,itisshownthattheo
7、neusingaGARCHapproachbyandlargegivesthelowestaverageovercharge.JELClassification:G14,G15Keyword(s):Coverageprobability,margin-settingmethodology,opportunitycost,overcharge,prudentiality,shortfall.Acknowledgments:K.LamwouldliketothankthefinancialsupportbytheRese
8、archGrantsCounciloftheHongKongSpecialAdministrativeRegionGovernment,intheformofanearmarkedgrant(HKBU2069/00H).Wearealsogratefultothecommentsfromtheparticipantsoftheseminarat
