Suchergebnisse

CCP Initial Margin Models in Europe

In: ECB Occasional Paper No. 2023/314

Emulating the Standard Initial Margin Model: Initial Margin Forecasting With a Stochastic Cross-currency Basis

In: Journal of Credit Risk, Band 19, Heft 3

Dynamic Initial Margin Via Chebyshev Tensors

Initial Margin Simulation with Deep Learning

Initial Margin Requirements and Market Efficiency

In: Forthcoming, Journal of Financial and Quantitative Analysis

Dissecting Initial Margin Forecasts: Models, Limitations and Backtesting

Discrepancy between Regulations and Practice in Initial Margin Calculation

Dynamic Sensitivities and Initial Margin via Chebyshev Tensors

Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility

In: Journal of Risk, Band 22

Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility

In: Journal of Risk, 2020, 22(5): 1-41

Simulation of Future Initial Margin along Low-Dimensional State Spaces

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin

Fit for SIMM: Initial Margin Forecasting with Stochastic Cross-currency Basis

A unified approach to xVA with CSA discounting and initial margin