We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators...

This article, the sixth in a series of monographs for the journal on research design and analysis, discusses statistical concepts related to the measurement of nutrition-related characteristics and outcomes, including validity, reliability, and diagnostic tests. The paper is designed to help...

The use of epidemiologic research designs and analytical methods is common in nutrition research, as researchers seek to understand dietary and other factors associated with health status and illness. This monograph on research methodology presents the basic observational study designs most...

In recent years, cash and futures prices have failed to converge at expiration for selected corn, soybean, and wheat commodity contracts. This lack of convergence raises questions about the effectiveness of arbitrage activities, and increases concerns about the usefulness of these contracts for...

With support from the US National Tsunami Hazard Mitigation Program (NTHMP), the authors have been developing tsunami inundation maps for the upper US East Coast (USEC), using high-resolution numerical modeling. These maps are envelopes of maximum elevations, velocity, or momentum flux, caused...

This article, the sixth in a series of monographs for the journal on research design and analysis, discusses statistical concepts related to the measurement of nutrition-related characteristics and outcomes, including validity, reliability, and diagnostic tests. The paper is designed to help...