A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK

DOI10.1142/S0219024918500504zbMath1419.91646arXiv1803.02012OpenAlexW2963828852MaRDI QIDQ4645328

Shibi Feng, Igor Cialenco, Tomasz R. Bielecki

Publication date: 10 January 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.02012

zbMATH Keywords

dynamic risk measurecredit default swapinitial margincredit migrationdefault fundMarkov structurescentral clearing partiesdefault waterfall

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Fair estimation of capital risk allocation

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