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Risk Management Lessons from the Global Financial Crisis for Derivative Exchanges
Company: Indian Institute of Management
Year Of Publication: 2009
Month Of Publication: February
Pages: 26
Download Count: 1
View Count: 1208
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 11-6-2013
Publisher: Administrator
The paper applies lessons from the financial crisis to the important exchange traded derivatives in India and recommends major changes to the current margining systems to improve their robustness. It also discusses directions in which global best practices in exchange risk management could be improved to take advantage of recent advances in computing power and finance theory. The paper argues that risk management should evolve towards explicit models based on coherent risk measures (like expected shortfall), fat tailed distributions and non linear dependence structures (copulas).
W.P. No.2009-02-06
This document is published in Lessons from the Financial Crisis, 2011, Ch. 40.
Varma, Jayanth R. Sign in to follow this author
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