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Unobserved components models with stochastic volatility for extracting trends and cycles in credit

O'Brien, Martin; Velasco, Sofia - 2020

Persistent link: https://www.econbiz.de/10012793058

Mitigating margin procyclicality : the effectiveness of anti-procyclicality measures during the Covid-19 stress event

Kahros, Argyris; Weißler, Marco - In: The journal of financial market infrastructures 10 (2022) 3, pp. 69-97

Persistent link: https://www.econbiz.de/10014335794

Stochastic tail index model for high frequency financial data with Bayesian analysis

Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487

Persistent link: https://www.econbiz.de/10012110325

Persistence and Procyclicality in Margin Requirements

Glasserman, Paul - 2017

Margin requirements for derivative contracts serve as a buffer against the transmission of losses through the financial … combination of theoretical and empirical results to analyze how much higher margin levels need to be to avoid procyclicality while … decay in the tail of the unconditional distribution and a higher buffer needed to avoid procyclicality. The tail decay …

Persistent link: https://www.econbiz.de/10012960535

A comparative analysis of tools to limit the procyclicality of initial margin requirements

Murphy, David; Vasios, Michalis; Vause, Nicholas - 2016

Persistent link: https://www.econbiz.de/10011480672

A cost-benefit analysis of anti-procyclicality : analyzing approaches to procyclicality reduction in central counterparty initial margin models

Murphy, David; Vause, Nicholas - In: The journal of financial market infrastructures 9 (2021) 4, pp. 27-50

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Finanzmarktstatistik : mit 35 Tabellen

Schmid, Friedrich; Trede, Mark - 2005

Persistent link: https://www.econbiz.de/10003028166

Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module

Eling, Martin; Pankoke, David836228189 - 2013

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The procyclicality of banking : evidence from the euro area

Huizinga, Harry; Laeven, Luc - 2019

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Optimal capital regulation

Moyen, Stéphane; Schroth, Josef - 2017

We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly. As a...

Persistent link: https://www.econbiz.de/10011599136