(3) Use of VAR for Margins The Chicago Mercantile Exchange (CME) lists bitcoin futures contracts....
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(3) Use of VAR for Margins The Chicago Mercantile Exchange (CME) lists bitcoin futures contracts. Like other futures, the margin is set around a 10-day 99% VaR. For this, you need to use the contract specifications (i.e., multiplier of 5 contracts) and the initial margin, which was about $71,000, as of Jan 1 (this changes over time, see the exchange's web site). Use price data as of Dec 31, 2021. Compute the notional amount of one contract How much leverage can be taken given this margin? Check whether the margin is close to the observed 10-day 99% VaR (3) Use of VAR for Margins The Chicago Mercantile Exchange (CME) lists bitcoin futures contracts. Like other futures, the margin is set around a 10-day 99% VaR. For this, you need to use the contract specifications (i.e., multiplier of 5 contracts) and the initial margin, which was about $71,000, as of Jan 1 (this changes over time, see the exchange's web site). Use price data as of Dec 31, 2021. Compute the notional amount of one contract How much leverage can be taken given this margin? Check whether the margin is close to the observed 10-day 99% VaR
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