Journal article
Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash
Journal of money, credit and banking, Vol.31(2), pp.248-272
05/01/1999
DOI: 10.2307/2601232
Abstract
Futures market clearinghouses are intermediaries that make large-volume trading between anonymous parties feasible. During the market crash in October 1987 rumors spread that a clearinghouse might fail. This paper presents estimates of three measures of the default exposure. We estimate the traditional summary statistic for risk exposure: the tail probabilities. We also estimate two economic measures: the expected value of the payoffs in the tails, and expected value of the payoffs in the tails conditional on landing in the tail. Our estimates indicate the market thought another crash was unlikely, but that if one occurred it would be large.
Details
- Title: Subtitle
- Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash
- Creators
- David Bates - University of IowaRoger Craine - University of California, Berkeley
- Resource Type
- Journal article
- Publication Details
- Journal of money, credit and banking, Vol.31(2), pp.248-272
- Publisher
- Ohio State University Press
- DOI
- 10.2307/2601232
- ISSN
- 0022-2879
- eISSN
- 1538-4616
- Language
- English
- Date published
- 05/01/1999
- Academic Unit
- Finance
- Record Identifier
- 9984380420002771
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