Determining Futures 'Hedging Reserve' Capital Requirements

A model for determining funding requirements for uninterrupted operation as a hedger is presented. Hedging marking-to-market requirements are reduced as cash market liquidity increases and basis risk is reduced. Yet, trading limitations hedgers face raise funding requirements. Therefore, some hedgers' funding requirements are higher than those of speculators in the same market.


Issue Date:
1989-07
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/244960
Total Pages:
9




 Record created 2017-04-01, last modified 2017-04-26

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