Zhu, Xuemin and Liu, Sheng and Zhu, Xuelin (2023) Risk Quantification and Dynamic Guarantee Proportion Optimization Based on Improved Var-GARCH Model. In: Proceedings of the 3rd International Conference on Big Data Economy and Information Management, BDEIM 2022, December 2-3, 2022, Zhengzhou, China.
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Abstract
In margin financing and securities lending business, customers always want a lower guarantee ratio, while securities companies and regulators require a high guarantee ratio. Obviously, the fixed margin system can no longer meet the needs of many parties. At this time, the dynamic margin system came
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:20 |
| Last Modified: | 17 Apr 2026 03:00 |
| URI: | http://eprints.eai.eu/id/eprint/43381 |
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