Initial margin with risky collateral
Ming Shi, Xinxin Yu and Ke Zhang
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Shi, Ming ; Yu, Xinxin ; Zhang, Ke |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 3, p. 49-68
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| Subject: | initial margin | risky collateral | value-at-risk (VaR) | counterparty credit risk | parametric VaR framework | inner product space | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Risikomaß | Risk measure | Theorie | Theory | VAR-Modell | VAR model | Derivat | Derivative | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.377 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011847469