{"id":"https://openalex.org/W2013922982","doi":"https://doi.org/10.2307/2601232","title":"Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash","display_name":"Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash","publication_year":1999,"publication_date":"1999-05-01","ids":{"openalex":"https://openalex.org/W2013922982","doi":"https://doi.org/10.2307/2601232","mag":"2013922982"},"language":"en","primary_location":{"id":"doi:10.2307/2601232","doi":"https://doi.org/10.2307/2601232","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2601232","pdf_url":null,"source":{"id":"https://openalex.org/S2058785","display_name":"Journal of money credit and banking","issn_l":"0022-2879","issn":["0022-2879","1538-4616"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Money, Credit and Banking","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5079225170","display_name":"David S. Bates","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I126307644","display_name":"University of Iowa","ror":"https://ror.org/036jqmy94","country_code":"US","type":"education","lineage":["https://openalex.org/I126307644"]},{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"David Bates","raw_affiliation_strings":["National Bureau of Economic Research (NBER)","University of Iowa - Department of Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"National Bureau of Economic Research (NBER)","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"University of Iowa - Department of Finance","institution_ids":["https://openalex.org/I126307644"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5041975001","display_name":"Roger Craine","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I95457486","display_name":"University of California, Berkeley","ror":"https://ror.org/01an7q238","country_code":"US","type":"education","lineage":["https://openalex.org/I95457486"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Roger Craine","raw_affiliation_strings":["University of California, Berkeley - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of California, Berkeley - Department of Economics","institution_ids":["https://openalex.org/I95457486"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3800,"currency":"USD","value_usd":3800},"apc_paid":null,"fwci":0.6879,"has_fulltext":false,"cited_by_count":29,"citation_normalized_percentile":{"value":0.83112259,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"31","issue":"2","first_page":"248","last_page":"248"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8192999958992004,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8192999958992004,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.10999999940395355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.015599999576807022,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/1987-stock-market-crash","display_name":"1987 stock market crash","score":0.9259999990463257},{"id":"https://openalex.org/keywords/s-p-500-index-futures","display_name":"S&P 500 futures","score":0.9279999732971191},{"id":"https://openalex.org/keywords/chicago-mercantile-exchange","display_name":"Chicago Mercantile Exchange","score":0.9860000014305115},{"id":"https://openalex.org/keywords/tail-probabilities","display_name":"tail probabilities","score":0.7730000019073486},{"id":"https://openalex.org/keywords/jump-diffusion-model","display_name":"jump-diffusion model","score":0.8460000157356262},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.5440000295639038},{"id":"https://openalex.org/keywords/federal-reserve","display_name":"Federal Reserve","score":0.8090000152587891}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.827617347240448},{"id":"https://openalex.org/C183469790","wikidata":"https://www.wikidata.org/wiki/Q333501","display_name":"Crash","level":2,"score":0.6543244123458862},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6184816360473633},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.576672375202179},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49050039052963257},{"id":"https://openalex.org/C2983622608","wikidata":"https://www.wikidata.org/wiki/Q2298435","display_name":"Futures market","level":3,"score":0.4320748746395111},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.41966700553894043},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3912130892276764},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3712332248687744},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2664374113082886},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1975877583026886},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1495208442211151},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2307/2601232","doi":"https://doi.org/10.2307/2601232","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2601232","pdf_url":null,"source":{"id":"https://openalex.org/S2058785","display_name":"Journal of money credit and banking","issn_l":"0022-2879","issn":["0022-2879","1538-4616"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Money, Credit and Banking","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.6200000047683716}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1524968409","https://openalex.org/W2183026146","https://openalex.org/W2158580072","https://openalex.org/W376862854","https://openalex.org/W4289256118","https://openalex.org/W1988815727","https://openalex.org/W2094165722","https://openalex.org/W7112370434","https://openalex.org/W2056411326","https://openalex.org/W2134355029"],"abstract_inverted_index":{"Futures":[0],"market":[1,18,203],"clearinghouses":[2],"are":[3,225],"intermediaries":[4],"that":[5,22,63],"make":[6],"large":[7,115],"volume":[8],"trading":[9],"between":[10],"anonymous":[11],"parties":[12],"feasible.":[13],"During":[14],"the":[15,36,40,47,53,60,64,67,71,80,85,88,94,97,103,131,137,150,167,185,187,196,231,234,236,239,245,251,257,281,290],"October":[16,279],"1987":[17],"crash":[19,186,200,235],"rumors":[20],"spread":[21],"a":[23,118,134,159,163,175],"major":[24],"clearinghouse":[25],"might":[26],"fail.":[27],"This":[28],"paper":[29],"presents":[30],"estimates":[31,148,238],"of":[32,35,79,84,93,108,133,143,149,153,169,198,242,254,256],"three":[33],"measures":[34,78,107,142],"default":[37],"exposure":[38,111],"on":[39,46,100,181,248],"popular":[41],"S&P500":[42,258],"futures":[43,68,154,182,259],"contract":[44],"traded":[45,170,193],"Chicago":[48],"Mercantile":[49],"Exchange.":[50],"We":[51,157],"estimate":[52,75,174,264],"traditional":[54],"summary":[55],"statistic":[56],"for":[57],"risk":[58,109,144],"exposure:":[59],"tail":[61,124,127,223,252],"probabilities":[62,128,224],"change":[65],"in":[66,87,96,102,244,250,268],"price":[69,155],"exceeds":[70],"margin.":[72],"And":[73],"we":[74,173],"two":[76],"economic":[77,106],"risk--the":[81],"expected":[82,91,138,240],"value":[83,92,241],"payoffs":[86,95,243],"tails":[89,98,246],"and":[90,162,172,220],"conditional":[99,151,247],"landing":[101,249],"tail.":[104],"The":[105,126,140,205,222],"reveal":[110],"from":[112,147,166,178,192],"low":[113],"probability":[114],"payoff":[116],"events--like":[117],"crash--that":[119],"does":[120],"not":[121,136],"show":[122],"up":[123],"probabilities.":[125],"only":[129],"capture":[130],"likelihood":[132],"crash,":[135],"loss.":[139],"estimated":[141],"follow":[145],"directly":[146],"distribution":[152],"changes.":[156],"infer":[158],"jump-diffusion":[160,176,189],"process":[161,177],"log-normal":[164],"rocess":[165],"prices":[168],"options":[171,194],"time-series":[179],"data":[180],"prices.":[183],"After":[184],"forward-looking":[188],"model":[190,206,237],"inferred":[191],"reflects":[195],"fears":[197],"another":[199,208,276],"voiced":[201],"by":[202],"participants.":[204],"indicates":[207],"jump":[209],"is":[210],"unlikely,":[211],"but":[212],"if":[213],"it":[214,216,285],"occurred":[215],"would":[217,271],"be":[218,272],"big":[219],"negative.":[221],"small,":[226],"less":[227],"than":[228],"2%.":[229],"But,":[230],"day":[232],"after":[233],"equals":[253],"55%":[255],"price.":[260],"According":[261],"to":[262,274,288],"this":[263],"roughly":[265],"$10.5":[266],"billion":[267],"liquid":[269],"reserves":[270],"required":[273],"weather":[275],"crash.":[277],"On":[278],"20":[280],"Federal":[282],"Reserve":[283],"announced":[284],"stood":[286],"ready":[287],"supply":[289],"necessary":[291],"liquidity.":[292]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
