Filtered historical simulation for initial margin of interest rate swap under Korean market
Year of publication: |
2018
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Authors: | Lee, Kyungsub ; Seo, Byoung Ki |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 54.2018, 10/11/12, p. 2516-2532
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Subject: | central clearing | filtered historical simulation | initial margin | Korean market | Südkorea | South Korea | Simulation |
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