Alexander Argiriou: Determining Margin Levels using Risk Modelling

This thesis addresses the problem of how a broker should to set margin levels on individual stock or subportfolios using risk modelling. Expected Shortfall is used together with historical data to set margin levels on individual stock. Another method is then derived with the Euler allocation principle to take dependencies into account. A basic comparison is made that shows how a broker can increase the revenue from lending money by taking dependencies into account and set margin levels on subportfolios instead of individual stock.