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Search: subject:"initial margin (IM)"
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Derivat
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initial margin (IM)
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Andersen, Leif
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Cheruvelil, Roy M.
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The journal of financial market infrastructures
4
The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
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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
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2
Procyclicality of central counterparty margin models : systemic problems need systemic approaches
Gurrola-Perez, Pedro
- In:
The journal of financial market infrastructures
10
(
2021
)
1
,
pp. 23-55
Persistent link: https://www.econbiz.de/10014335781
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3
Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties
Andersen, Leif
;
Dickinson, Andrew
- In:
The journal of financial market infrastructures
7
(
2019
)
4
,
pp. 27-70
Persistent link: https://www.econbiz.de/10012104989
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4
Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
Li, David
;
Cheruvelil, Roy M.
- In:
The journal of financial market infrastructures
8
(
2019
)
1
,
pp. 51-92
Persistent link: https://www.econbiz.de/10012373185
Saved in:
5
Initial margin model sensitivity analysis and volatility estimation
Houllier, Melanie
;
Murphy, David
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 77-103
Persistent link: https://www.econbiz.de/10011729235
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