Credit Exposure in the Presence of Initial Margin-Reference-Cited by-同舟云学术

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Credit Exposure in the Presence of Initial Margin

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andersen Leif B. G.,Pykhtin Michael,Sokol Alexander

Publisher

Elsevier BV

Reference12 articles.

1. Rethinking the Margin Period of Risk;L Andersen;Journal of Credit Risk,2017

2. ISDA (Institutional Swap Dealers Association)

3. Accounting for Dynamic Initial Margin in Credit Exposure Models;L Andersen;Presentation at RiskMinds International,2015

Cited by 17 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Discrepancy between regulations and practice in initial margin calculation;Japan Journal of Industrial and Applied Mathematics;2024-06-28

2. XVA modelling: validation, performance and model risk management;Annals of Operations Research;2023-06-14

3. A systemic change of measure from central clearing;Journal of Futures Markets;2021-12-16

4. An Artificial Intelligence Approach to Regulating Systemic Risk;Frontiers in Artificial Intelligence;2019-05-29

5. Integrated structural approach to Credit Value Adjustment;European Journal of Operational Research;2019-02

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