66 Pages Posted: 14 Oct 2011 Last revised: 21 Dec 2015

See all articles by Jorge Cruz Lopez

Jorge Cruz Lopez

University of Western Ontario; Financial Network Analytics (FNA)

Christophe Hurlin

University of Orleans

Jeffrey H. Harris

American University - Department of Finance and Real Estate

Christophe Pérignon

HEC Paris - Finance Department

Date Written: December 15, 2015


We present CoMargin, a new methodology to estimate collateral requirements in derivatives central counterparties (CCPs). CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes trading externalities and enhances the stability of CCPs, thus, reducing systemic risk concerns. We assess our methodology using proprietary data from the Canadian Derivatives Clearing Corporation that includes daily observations of the actual trading positions of all of its members from 2003 to 2011. We show that CoMargin outperforms existing margining systems by stabilizing the probability and minimizing the shortfall of simultaneous margin-exceeding losses.

Keywords: Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

JEL Classification: G13

Suggested Citation

Cruz Lopez, Jorge and Hurlin, Christophe and Harris, Jeffrey H. and Pérignon, Christophe, CoMargin (December 15, 2015). Available at SSRN: or

Jorge Cruz Lopez

University of Western Ontario ( email )

Social Science Centre, Room 4071
London, Ontario N6A 5C2
+1 (519) 661 2111 ext. 85323 (Phone)


Financial Network Analytics (FNA) ( email )

4-8 Crown Place
London, EC2A 4BT
United Kingdom


Christophe Hurlin

University of Orleans ( email )

Université d'Orléans
Rue de Blois B.P. 6739 45

Jeffrey H. Harris

American University - Department of Finance and Real Estate ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)

Christophe Pérignon (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351

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