Dynamic initial margin estimation based on quantiles of Johnson distributions
Year of publication: |
2022
|
---|---|
Authors: | McWalter, Thomas A. ; Kienitz, Jörg ; Nowaczyk, Nikolai ; Rudd, Ralph ; Acar, Sarp Kaya |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 18.2022, 4, p. 93-116
|
Subject: | dynamic initial margin (DIM) | margin value adjustment (MVA) | quantiles | Johnson distributions | least squares Monte Carlo |
-
GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
Simonato, Jean-Guy, (2012)
-
Kappa Performance Measures with Johnson Distributions
Naguez, Naceur, (2014)
-
Keelin, Thomas W., (2016)
- More ...
-
Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions
McWalter, Thomas, (2018)
-
Fast quantization of stochastic volatility models
Rudd, Ralph, (2017)
-
Recursive marginal quantization of higher-order schemes
McWalter, Thomas A., (2018)
- More ...