CoMargin
提出CoMargin方法，用于估算衍生品中央对手方的抵押要求，该方法同时考虑单个参与者的尾部风险及其与其他参与者的相互依赖，能内化交易外部性、增强中央对手方稳定性，并利用加拿大衍生品清算公司的数据验证其优于现有系统。
We present CoMargin, a new methodology to estimate collateral requirements in derivatives central counterparties (CCPs). CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes trading externalities and enhances the stability of CCPs, thus reducing systemic risk concerns. We assess our methodology using proprietary data from the Canadian Derivatives Clearing Corporation that include daily observations of the actual trading positions of all of its members from 2003 to 2011. We show that CoMargin outperforms existing margining systems by stabilizing the probability and minimizing the shortfall of simultaneous margin-exceeding losses.