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Central Clearing Valuation Adjustment - MaRDI portal

Central Clearing Valuation Adjustment (Q5266361)

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scientific article; zbMATH DE number 6725625
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English
Central Clearing Valuation Adjustment
scientific article; zbMATH DE number 6725625

    Statements

    title
    Central Clearing Valuation Adjustment (English)
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    author
    Yannick Armenti
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    Stéphane Crépey
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    publication date
    2 June 2017
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    zbMATH Keywords
    counterparty risk
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    margins
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    default fund
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    cost of funding
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    cost of capital
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    netting
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    Identifiers

    DOI
    10.1137/15M1028170
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    Mathematics Subject Classification ID
    91G40
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    91B25
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    91G20
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    91G70
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    60G44
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    zbMATH DE Number
    6725625
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    arXiv ID
    1506.08595
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