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  • Search: subject:"Nasdaq default"
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ARCH model 1 ARCH-Modell 1 Correlation 1 Credit risk 1 Derivat 1 Derivative 1 Korrelation 1 Kreditrisiko 1 Nasdaq default 1 Risikomaß 1 Risk measure 1 Theorie 1 Theory 1 correlation breakdown 1 dynamic conditional correlation (DCC) 1 multivariate t-copula 1 spread positions 1 value-at-risk (VaR) 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Cerezetti, Fernando 1 Cheruvelil, Roy 1 Li, David 1
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The journal of financial market infrastructures 1
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Correlation breakdowns, spread positions and central counterparty margin models
Li, David; Cerezetti, Fernando; Cheruvelil, Roy - In: The journal of financial market infrastructures 11 (2024) 3, pp. 19-40
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