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Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - 2015

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deals with their organisational requirements, including prudential requirements...

Persistent link: https://www.econbiz.de/10011296075

Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund

Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: The European journal of finance 24 (2018) 4/6, pp. 413-425

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Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations

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Regime switching and bond pricing

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Benchmark interest rates when the government is risky

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