NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Roger Craine

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April 1998Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash
with David Bates: w6505
Futures market clearinghouses are intermediaries that make large volume trading between anonymous parties feasible. During the October 1987 market crash rumors spread that a major clearinghouse might fail. This paper presents estimates of three measures of the default exposure on the popular S&P500 futures contract traded on the Chicago Mercantile Exchange. We estimate the traditional summary statistic for risk exposure: the tail probabilities that the change in the futures price exceeds the margin. And we estimate two economic measures of the risk--the expected value of the payoffs in the tails and expected value of the payoffs in the tails conditional on landing in the tail. The economic measures of risk reveal exposure from low probability large payoff events--like a crash--that does no...
December 1977Restrictions on the Control Vector in Economic Optimization Problems
in Annals of Economic and Social Measurement, Volume 6, number 5, Sanford V. Berg, editor
April 1976Optimal Macroeconomic Control Policies
with Arthur Havenner, Peter Tinsley
in Annals of Economic and Social Measurement, Volume 5, number 2, Sanford V. Berg, editor

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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