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~isPartOf:"The journal of financial market infrastructures"
~subject:"Derivative"
~subject:"Kreditrisiko"
~subject:"simulations"
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Kreditrisiko
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central counterparties (CCPs)
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copulas
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credit default swap (CDS)
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credit default swap (CDS) clearing
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generalized autoregressive conditional heteroscedasticity-dynamic conditional correlation (GARCH-DCC)
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initial margin (IM)
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The journal of financial market infrastructures
International journal of theoretical and applied finance
9
Energy economics
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The journal of credit risk : published quarterly by Incisive Media
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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket
;
Virmani, Vineet
- In:
The journal of financial market infrastructures
10
(
2022
)
4
,
pp. 29-53
Persistent link: https://www.econbiz.de/10014538750
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2
Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
Li, David
;
Cheruvelil, Roy M.
- In:
The journal of financial market infrastructures
8
(
2019
)
1
,
pp. 51-92
Persistent link: https://www.econbiz.de/10012373185
Saved in:
3
Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
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