A dynamic model of central counterparty risk (Q4645328)
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scientific article; zbMATH DE number 6999638
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A dynamic model of central counterparty risk |
scientific article; zbMATH DE number 6999638 |
Statements
A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK (English)
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10 January 2019
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central clearing parties
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default fund
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initial margin
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dynamic risk measure
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Markov structures
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credit default swap
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default waterfall
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credit migration
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0.8031826615333557
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0.792481541633606
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0.7920065522193909
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0.7765471935272217
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0.7720052599906921
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