Alternative margin models for mortgage-backed securities
David Li, Roy M. Cheruvelil and Viktoria Baklanova
| Year of publication: |
2024
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|---|---|
| Authors: | Li, David ; Cheruvelil, Roy M. ; Baklanova, Viktoria |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5412, ZDB-ID 2712544-0. - Vol. 11.2024, 2, p. 39-73
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| Subject: | agency mortgage-backed securities (MBSs) | generalized autoregressive conditionalheteroscedasticity t-copula (GARCH-t-copula) | filtered historical simulation (FHS) | fat-taileddistribution | margin model | central clearing counterparties (CCPs) | Asset-Backed Securities | Asset-backed securities | Hypothek | Mortgage | Theorie | Theory | Simulation | Derivat | Derivative | ARCH-Modell | ARCH model | Clearing | Financial clearing |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2024.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014556443