A dynamic model of central counterparty risk
Tomasz R. Bielecki, Igor Cialenco and Shibi Feng
| Year of publication: |
December 2018
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Feng, Shibi |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 8, p. 1-34
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| Subject: | Central clearing parties | default fund | initial margin | dynamic risk measure | Markov structures | credit default swap | default waterfall | credit migration | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Derivat | Derivative | Theorie | Theory | Clearing | Financial clearing | Risikomanagement | Risk management | Insolvenz | Insolvency | Markov-Kette | Markov chain | Finanzmarktregulierung | Financial market regulation | Risikomaß | Risk measure | Risiko | Risk | Systemrisiko | Systemic risk | OTC-Handel | OTC market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500504 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011970904