Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses : a Monte Carlo investigation
Year of publication: |
2021
|
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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
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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 | Derivat | Derivative | Theorie | Theory | Risiko | Risk | Finanzmarktregulierung | Financial market regulation | Kreditrisiko | Credit risk | Simulation |
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