Discrepancy between regulations and practice in initial margin calculation (Q6614965)
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scientific article; zbMATH DE number 7922758
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Discrepancy between regulations and practice in initial margin calculation |
scientific article; zbMATH DE number 7922758 |
Statements
Discrepancy between regulations and practice in initial margin calculation (English)
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8 October 2024
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counterparty risk
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initial margin
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margin period of risk
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ISDA SIMM
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SABR model
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0.6768460869789124
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0.6567318439483643
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0.6559572815895081
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0.6270248293876648
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0.6239041090011597
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