Measuring Margin

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

Policy makers and market participants alike wish to understand the amount, economic significance, and concentration of derivatives trading activity. This paper suggests that systematic measuring and reporting of margin by market participants, disaggregated by asset class, would provide more meaningful insights into derivatives activity. Where margin is not required, it could nevertheless be imputed and reported. The Dodd-Frank financial reform bill, by contrast, moves away from transparency by granting non-financial firms an end-user exemption from posting initial margin on their trades. This is economically equivalent to a borrowing from the counterparty and effectively permits these firms to issue off-balance-sheet debt.
Original languageEnglish (US)
Title of host publicationRisk Topography
Subtitle of host publicationMeasuring Systemic Risk
EditorsMarkus Brunnermeier, Arvind Krishnamurthy
PublisherNational Bureau of Economic Research (NBER)
Number of pages21
ISBN (Electronic)9780226092645
ISBN (Print)9780226077734
StatePublished - 2014

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