TY  - JOUR
AU  - McDonald, Robert L
TI  - Measuring Margin
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18724
PY  - 2013
Y2  - January 2013
DO  - 10.3386/w18724
UR  - http://www.nber.org/papers/w18724
L1  - http://www.nber.org/papers/w18724.pdf
N1  - Author contact info:
Robert L. McDonald
Kellogg School of Management
Northwestern University
2211 Campus Dr
Evanston, IL 60208
Tel: 847/491-8344
E-Mail: r-mcdonald@northwestern.edu
M1  - published as Robert L. McDonald. "Measuring Margin," in Markus Brunnermeier and Arvind Krishnamurthy, editors, "Risk Topography: Systemic Risk and Macro Modeling" University of Chicago Press (2014)

M3  - presented at "Systemic Risk and Macro Modeling", April 28, 2011
AB  - Policy makers and market participants alike wish to understand the amount, economic significance, and concentration of derivatives trading activity. This paper suggests that systematic measuring and reporting of margin by market participants, disaggregated by asset class, would provide more meaningful insights into derivatives activity. Where margin is not required, it could nevertheless be imputed and reported. The Dodd-Frank financial reform bill, by contrast, moves away from transparency by granting non-financial firms an end-user exemption from posting initial margin on their trades. This is economically equivalent to a borrowing from the counterparty and effectively permits these firms to issue off-balance-sheet debt.
ER  -