Initial margin estimations for credit default swap portfolios
Stanislav Ivanov
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Ivanov, Stanislav |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 5.2017, 4, p. 22-49
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| Subject: | credit default swap (CDS) clearing | portfolio risk | simulations | copulas | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Simulation | Swap | Derivat | Derivative | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2017.079 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011729219