Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

DOI10.1080/1350486X.2021.1893770zbMath1466.91364arXiv1709.08238OpenAlexW3159994077MaRDI QIDQ4994680

Mason A. Porter, Martin Gould, Nikolaus Hautsch, S. D. Howison

Publication date: 21 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.08238

zbMATH Keywords

market designforeign exchangeprice formationcounterparty credit riskcounterparty credit limits

Mathematics Subject Classification ID

Credit risk (91G40)

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