Estimating "hedge and auction" liquidation costs in central counterparties : a closeout risk approach
Year of publication: |
September 2017
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Authors: | Vicente, Luis A. B. G. ; Cerezetti, Fernando ; Genaro, Alan de |
Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 6.2017, 1, p. 1-27
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Subject: | central counterparty | risk management | default procedures | closeout risk | hedge | auctions | Finanzdienstleistung | Financial services | Risikomanagement | Risk management | Hedging | Auktionstheorie | Auction theory | Kreditrisiko | Credit risk | Derivat | Derivative | Auktion | Auction | Clearing | Financial clearing |
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