The collateral rule : evidence from the credit default swap market
Agostino Capponi, Wan-Schwin Allen Cheng, Stefano Giglio, Richard Haynes
| Year of publication: |
2022
|
|---|---|
| Authors: | Capponi, Agostino ; Cheng, Wan-Schwin Allen ; Giglio, Stefano ; Haynes, Richard |
| Published in: |
Journal of monetary economics. - Amsterdam : Elsevier, ISSN 0304-3932, ZDB-ID 191155-7. - Vol. 126.2022, p. 58-86
|
| Subject: | Clearinghouses | Collateral requirements | Endogenous collateral | Tail risk measures | Value at risk | Kreditderivat | Credit derivative | Kreditsicherung | Collateral | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jmoneco.2021.12.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364919