A parsimonious parametric model for generating margin requirements for futures (Q1991253)
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scientific article; zbMATH DE number 6968126
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A parsimonious parametric model for generating margin requirements for futures |
scientific article; zbMATH DE number 6968126 |
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A parsimonious parametric model for generating margin requirements for futures (English)
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30 October 2018
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finance
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backtesting
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margin rules
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median tail loss
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WTI crude oil
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0.7731041312217712
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0.7071136236190796
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0.7024446725845337
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0.69852614402771
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