Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties
Leif Andersen and Andrew Dickinson
| Year of publication: |
2019
|
|---|---|
| Authors: | Andersen, Leif ; Dickinson, Andrew |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 7.2019, 4, p. 27-70
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| Subject: | central clearing | central counterparty (CCP) | fat-tailed process | initial margin (IM) | credit valuation adjustment (CVA) | margin valuation adjustment (MVA) | Kreditrisiko | Credit risk | Theorie | Theory | Derivat | Derivative | Clearing | Financial clearing | Portfolio-Management | Portfolio selection | Finanzmarktregulierung | Financial market regulation | Risikomanagement | Risk management | Kreditsicherung | Collateral |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2018.112 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012104989