保证金要求，波动性，与市场诚信：通过这些“碰撞”我们学到了什么？外文翻译.doc

外文翻译 原文 Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? Material Source: Journal of Financial Services Research 13:3 231-255 (1998) Author: Paul H. Kupiec The Securities Exchange Act of 1934 granted the Federal Reserve Board (FRB) power to set initial, maintenance, and short sale margin requirements on all securities traded on a national exchange for purposes of regulating the securities credit extended by exchange members. Pursuant to this authority, the FRB established Regulation T, the rules governing the percentage of equity value a broker/dealer was allowed to lend on exchange traded securities.1 Although securities markets have a long history of federal margin regulation, not until 1992, when the U.S. Congress extended the FRBs margin-setting authority to include the levels of margin on stock index-futures contracts, was a federal regulation responsible for setting margin levels for futures products. Many theoretical models relate futures margin requirements to trading activity and price volatility in the futures contract. A substantial literature investigates both the theory of prudential margin requirements and theories that attempt to relate margin requirement changes to changes in the speculative behavior of agents. In futures markets, margin requirements set the counterparty collateral rules that help ensure contract performance. This so-called prudential function generally is associated with margin requirements on clearinghouse-guaranteed derivative contracts, although, given settlement procedures, a stock purchase actually is a forward contract subject to default risk. For example, if the price of a clearinghouse-guaranteed derivative contract moves against clearinghouse counterparty or if an option is exercised against it, the clearinghouse counterparty may have an incentive to default on the contract obligation. To minimize counterparty’s incentive to default, the clearinghouse requires that the counterpart