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A dynamic model of central counterparty risk
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
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Current exposure method for CCP's under Basel III
Kotzé, Antoine; Preez, Paul du - In: Risk governance & control : financial markets & institutions 3 (2013) 2, pp. 7-17
Persistent link: https://www.econbiz.de/10011438052
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The end of the waterfall : default resources of central counterparties
Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389
Persistent link: https://www.econbiz.de/10011531210
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What do central counterparty default funds really cover? : a network-based stress test answer
Poce, Giulia; Cimini, Giulio; Gabrielli, Andrea; … - In: The journal of network theory in finance 4 (2018) 4, pp. 42-57
Persistent link: https://www.econbiz.de/10012005467
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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