Prudential margin policy in a futures-style settlement system

Article Abstract:

Possible models for efficient margin management policy in a futures style settlement system are developed, based on the theory of efficient contracts. Empirical investigations reveal clearinghouses are not using opportunities to set stock-index futures margins to the extent predicted by the theory of cost-minimizing risk management. Behavior of three stock index futures contracts is examined for the period since 1982. Active management by clearinghouses of initial margin requirements is seen as a means of dealing with risk exposure.

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Predicting monetary policy with federal funds futures prices

Article Abstract:

Research is presented concerning the influence which the prices of futures contracts relating to federal funds has on the future path of monetary policy and market expectations of it. Bias relating to days of the month is discussed.

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Efficient use of commodity futures in diversified portfolios

Article Abstract:

Research is presented describing the enhanced performance of portfolios containing commodity futures.

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