Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses : a Monte Carlo investigation
Jayanth R. Varma and Vineet Virmani
| Year of publication: |
2021
|
|---|---|
| Authors: | Varma, Jayanth Rama ; Virmani, Vineet |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 10.2021, 2, p. 1-20
|
| Subject: | central counterparty clearinghouses (CCPs) | risk management | margins | margin periodof risk (MPOR) | netting | Monte Carlo simulation | Risikomanagement | Risk management | Monte-Carlo-Simulation | Clearing | Financial clearing | Theorie | Theory | Derivat | Derivative | Risikomaß | Risk measure | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2022.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013530785