文章基本信息

标题：Control of Brokerage Margins * * This work was supported in part by Directa Sim, a leading Italian online brokerage company. The access to financial data provided by Directa Sim is also gratefully acknowledged.
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作者：Giuseppe C. Calafiore ; Leonardo Massai
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2017
卷号：50
期号：1
页码：12279-12284
DOI：10.1016/j.ifacol.2017.08.2471
语种：English
出版社：Elsevier
摘要：AbstractIn this paper we analyze financial risk from the point of view of a brokerage company, who exposes itself to risk by lending assets or money to its clients for allowing short-selling or leveraged operations (firm-wise risk). We develop analytical models for control of firm-wise risk, by defining both specific margin factors for single assets and a global margin factor that takes into account the overall riskiness of a complex portfolio. In the first part of this work we derive a model to evaluate leverage factors, by linking them with the probability for the client’s portfolio value to go below a certain safety threshold, using Value-at-Risk and Expected Shortfall approaches. Further, we present optimization models based on these two approaches in order to determine the optimal leverage factors. In the second part, we present a model for margin control based on the concept of marginal availability. A global margin factor considering the overall riskiness of a complex portfolio is derived, and we show the effectiveness of the approach also when dealing with portfolios containing options.
关键词：KeywordsFinancial riskMargin controlLeverage