Margins are the major safeguards against default risk on a derivatives exchange. When the clearing house sets margin requirements, it does so by only focusing on individual clearing firm positions (e.g., the SPAN system). We depart from this traditional approach and present an alternative method...

The impact of news, events or volatility on the underlying market microstructure has been studied extensively in finance literature. Common to many of these studies is the arrival of "true" news. In this paper we use unique data on error trades that have occurred on the CBOT and CME and assess...