Analysis of the margin level in the KOSPI200 futures market

KOSPI200 선물 시장의 증거금 수준에 대한 연구

When the margin level is set relatively low, margin violation probability increases and the default probability of the futures market rises. On the other hand, if the margin level is set high, the margin violation probability decreases, but the futures market becomes less attractive to hedgers as the investor's opportunity cost increases. In this paper, we investigate whether the movement of KOSPI200(Korea Composite Stock Price Index 200) futures daily prices can be modeled with the extreme value theory. Base on this investigation, we examine the validity of the margin level set by the extreme value theory. Computational results are presented to compare the extreme value distribution and the empirical distribution of margin violation in KOSPI200. Some observations and implications drawn from the computational experiment are also discussed.