Dynamic initial margin estimation based on quantiles of Johnson distributions
Thomas A. McWalter, Jörg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp K. Acar
| Year of publication: |
2022
|
|---|---|
| Authors: | McWalter, Thomas A. ; Kienitz, Jörg ; Nowaczyk, Nikolai ; Rudd, Ralph ; Acar, Sarp Kaya |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 18.2022, 4, p. 93-116
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| Subject: | dynamic initial margin (DIM) | margin value adjustment (MVA) | quantiles | Johnson distributions | least squares Monte Carlo |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2022.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014247874