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Search: subject:"Initial margin model"
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Anti-procyclicality
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Impulse response function
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Initial margin model
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conditional volatility
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filtered volatility
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initial margin (IM)
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initial margin model
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margin model testing
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margin valuation adjustment (MVA)
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stochastic cross-currency basis
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Murphy, David
3
Gurrola-Pérez, Pedro
2
Puetter, Christoph M.
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Renzitti, Stefano
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Borsa Istanbul Review
1
Borsa İstanbul Review
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The journal of credit risk : published quarterly by Incisive Media
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The journal of risk model validation
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ECONIS (ZBW)
3
EconStor
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1
The Impulsive Approach to procyclicality: Measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions
Gurrola-Pérez, Pedro
;
Murphy, David
- In:
Borsa İstanbul Review
25
(
2025
)
6
,
pp. 1166-1182
measure of its reactiveness. This approach could be used both to measure
initial
margin
model
reactiveness, or procyclicality …
Persistent link: https://www.econbiz.de/10015635763
Saved in:
2
The Impulsive Approach to procyclicality : measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions
Gurrola-Pérez, Pedro
;
Murphy, David
- In:
Borsa Istanbul Review
25
(
2025
)
6
,
pp. 1166-1182
measure of its reactiveness. This approach could be used both to measure
initial
margin
model
reactiveness, or procyclicality …
Persistent link: https://www.econbiz.de/10015551278
Saved in:
3
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
4
Emulating the Standard
Initial
Margin
Model
: initial margin forecasting with a stochastic cross-currency basis
Puetter, Christoph M.
;
Renzitti, Stefano
- In:
The journal of credit risk : published quarterly by …
19
(
2023
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014489002
Saved in:
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