Persistence and procyclicality in margin requirements
Paul Glasserman, Qi Wu
| Year of publication: |
December 2018
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|---|---|
| Authors: | Glasserman, Paul ; Wu, Qi |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 12, p. 5705-5724
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| Subject: | probability | stochastic model applications | statistics | time series | financial institutions | markets | central counterparties | risk-sensitive margin requirements | procyclicality | Theorie | Theory | Finanzmarktregulierung | Financial market regulation | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Basler Akkord | Basel Accord | Konjunktur | Business cycle | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2017.2915 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011964578