Risk-Based Margining for Derivatives Portfolios: Close-out Modeling Approach

Student: Yerpylev Alexey

Supervisor: Marat Z. Kurbangaleev

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2016

There are many different approaches to margining portfolio of financial instruments. The standard models are 'Standard Portfolio Analysis of Risk' (SPAN) and 'Close-Out Risk Evaluation' (CORE). Number of modification of CORE model are proposed. These modifications allow to attain different combination of efficiency metrics: time of computation, precision and other. Best choice of the modification depends on ranking of these metrics.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses