Portfolio Margining is a risk-based margin calculation methodology that determines the capital requirements for a derivatives portfolio by assessing the aggregate risk exposure of all positions collectively, rather than on a position-by-position basis, thereby recognizing diversification and netting effects across instruments.
26
Publications
1.1K
Citations
49
Authors
38
Institutions
Publications per year
2017–2026
3
Variants
Portfolio-based Margin
Publications
26
Investment rules, margin, and market volatility
Gew-rae Kim, Harry M. Markowitz · The Journal of Portfolio Management · 1989 · 142 citations
Stock volatility and margin trading
Paul J. Seguin · Journal of Monetary Economics · 1990 · 83 citations · Full text
1–5 of 26
Authors
49
- PG
3
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- PJ
2
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- GA
2
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- MS
2
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- YW
2
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1–5 of 49
Institutions
38
Federal Reserve
Washington D.C., United States
2 h-index
2 publications
28 citations
Bank of England
London, United Kingdom
2 h-index
3 publications
168 citations
Federal Reserve Board of Governors
Washington D.C., United States
2 h-index
2 publications
28 citations
Baruch College
New York, United States
2 h-index
3 publications
294 citations
Columbia University
New York, United States
1 h-index
1 publications
72 citations
University of Rhode Island
Kingston, United States
1 h-index
1 publications
15 citations
Credit Suisse (Switzerland)
Zurich, Switzerland
1 h-index
2 publications
56 citations
Rutgers, The State University of New Jersey
New Brunswick, United States
1 h-index
1 publications
108 citations
1–8 of 38
Venues
- SSRN Electronic Journal
Repository · 8 publications · 337 citations
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- RePEc: Research Papers in Economics
Repository · 2 publications · 27 citations
2
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- Financial Review
FR · 2 publications · 28 citations
2
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- Journal of Futures Markets
2 publications · 197 citations
2
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- Journal of risk management in financial institutions
1 publications · 12 citations
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