Valuing the futures market clearinghouse's default exposure during the 1987 crash
By: David Bates, Roger Craine
Contributors: Craine, Roger.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 6505; Working paper series (National Bureau of Economic Research) -- working paper no. 6505.
Publisher: National Bureau of Economic Research
Published: 1998
Place of publication: Cambridge, MA
Language: eng
Number of pages: 39
Subjects: Stock index futures -- Prices -- United States -- Econometric models.; Stock Market Crash, 1987 -- Econometric models.
Notes: "April 1998."

JEL no. G23.

Includes bibliographical references (p. 37-39).

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Electronic version available via the Internet at the NBER World Wide Web site.