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The validation of filtered historical value-at-risk models
Gurrola-Perez, Pedro - In: The journal of risk model validation 12 (2018) 1, pp. 85-112
Persistent link: https://www.econbiz.de/10011869735
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Procyclicality of central counterparty margin models : systemic problems need systemic approaches
Gurrola-Perez, Pedro - In: The journal of financial market infrastructures 10 (2021) 1, pp. 23-55
Persistent link: https://www.econbiz.de/10014335781
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Volatility patterns of short-term interest rate futures
Gurrola-Perez, Pedro; Herrerias, Renata - In: The European journal of finance 27 (2021) 16, pp. 1604-1625
Persistent link: https://www.econbiz.de/10012872906
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The impact of de-tiering in the United Kingdom’s large-value payment system
Benos, Evangelos; Ferarra, Gerardo; Gurrola-Perez, Pedro - In: The journal of financial market infrastructures 6 (2017/2018) 2/3, pp. 31-62
Persistent link: https://www.econbiz.de/10011912378
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Managing market liquidity risk in central counterparties
Benos, Evangelos; Gurrola-Perez, Pedro; Wood, Michael - In: The journal of financial market infrastructures 5 (2017) 4, pp. 105-125
Persistent link: https://www.econbiz.de/10011729248