报告人： 陈媛媛南京大学金融与保险学系

时间：2019.6.21(周五) 14:00-15:00

地点：金融工程研究中心105学术报告厅

摘要：Margin calculation for derivative markets has become increasingly important after recent financial crisises, as the existing prevalent margin calculation models suffer from the pro-cyclical issue. We propose in this paper a strategy-based initial margin model and further incorporate it with the prevalent initial margin models to counter pro-cyclicality for balanced option portfolios, in which the number of long positions equals to that of short positions respectively in the calls and puts. We introduce a novel definition of the base offsets (with up to six legs), which are sufficient to capture the hedging properties inside all the balanced option portfolios, and propose an integer programming formulation for margin calculation. We prove that our integer programming model ensures an exact margin estimation with much less computational complexity compared to the state-of-the-art. Our numerical experiments demonstrate that a proper margin requirement is a balance between risk-sensitivity and counter-cyclicality.

报告人简介：陈媛媛，2018年至今任南京大学商学院金融与保险学系助理教授，2016-2018年任新加坡国立大学风险管理研究所博士后研究员，2016年获香港中文大学系统工程与工程管理系博士学位。研究方向是量化金融、风险管理，动态策略模型、市场微观结构。