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A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK - MaRDI portal

A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK (Q4645328)

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scientific article; zbMATH DE number 6999638
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English
A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK
scientific article; zbMATH DE number 6999638

    Statements

    title
    A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK (English)
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    author
    Tomasz R. Bielecki
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    Igor Cialenco
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    Shibi Feng
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    publication date
    10 January 2019
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    91G40
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    zbMATH DE Number
    6999638
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    arXiv ID
    1803.02012
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    OpenAlex ID
    W2963828852
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