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Quantitative Finance · Glossário

O que é Procyclicality?

Definition 20.9 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 20 — Margin

A margin system is procyclical to the extent that its requirements rise in stressed markets and fall in calm ones, adding to the demand for liquidity exactly when liquidity is scarce.

Margin on a fixed position while daily volatility jumps from 0.8% to 3.5% for 25 days and decays (99%, two-day horizon, 250-day window). Over the worst ten days the plain margin rises by 109%, the filtered margin by 203%, the floored margin by 94%. The floor is paid for in calm times: 4.5% of the position against 3.0%. Data: the tutorial’s simulation.
Figure 20.4. Margin on a fixed position while daily volatility jumps from 0.8% to 3.5% for 25 days and decays (99%, two-day horizon, 250-day window). Over the worst ten days the plain margin rises by 109%, the filtered margin by 203%, the floored margin by 94%. The floor is paid for in calm times: 4.5% of the position against 3.0%. Data: the tutorial’s simulation.
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