Discrepancy between regulations and practice in initial margin calculation

DOI10.1007/S13160-024-00660-8MaRDI QIDQ6614965FDOQ6614965

Authors: Ryosuke Kitani, Hidetoshi Nakagawa 

Publication date: 8 October 2024

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

counterparty riskSABR modelinitial marginISDA SIMMmargin period of risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• LIBOR and swap market models and measures

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