G13 - Contingent Pricing; Futures Pricing

• CoMargin

  Staff Working Paper 2013-47 Jorge Cruz Lopez, Jeffrey H. Harris, Christophe Hurlin, Christophe Pérignon

  We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial markets, Financial stability JEL Code(s): G, G1, G13

• The Financialization of Food?

  Staff Working Paper 2013-39 Valentina G. Bruno, Bahattin Buyuksahin, Michel A. Robe

  Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the “financialization” of commodity markets.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Recent economic and financial developments JEL Code(s): G, G1, G12, G13, Q, Q1, Q11, Q13