Initial margin with risky collateral
Year of publication: |
February 2018
|
---|---|
Authors: | Shi, Ming ; Yu, Xinxin ; Zhang, Ke |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 3, p. 49-68
|
Subject: | initial margin | risky collateral | value-at-risk (VaR) | counterparty credit risk | parametric VaR framework | inner product space | Theorie | Theory | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Kreditsicherung | Collateral | VAR-Modell | VAR model | Risikomanagement | Risk management |
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