Emulating the Standard Initial Margin Model : initial margin forecasting with a stochastic cross-currency basis
Year of publication: |
2023
|
---|---|
Authors: | Puetter, Christoph M. ; Renzitti, Stefano |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ZDB-ID 2446290-1. - Vol. 19.2023, 3, p. 1-21
|
Subject: | Standard Initial Margin Model (SIMM) | initial margin (IM) | stochastic cross-currency basis | margin valuation adjustment (MVA) | Hull-White model |
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