Discrepancy between regulations and practice in initial margin calculation

DOI10.1007/S13160-024-00660-8MaRDI QIDQ6614965zbMATH OpenFDO

Authors Ryosuke Kitani, Hidetoshi Nakagawa

Publication date 8 October 2024

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

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

counterparty riskSABR modelinitial marginISDA SIMMmargin period of risk

Mathematics Subject Classification ID

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

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Cites work

• LIBOR and swap market models and measures

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