A parsimonious parametric model for generating margin requirements for futures
type: Item
instance of: scholarly article
title: A parsimonious parametric model for generating margin requirements for futures
zbMATH Open document ID: 1403.91378
author: Carol Alexander
author: Andreas Kaeck
author: Anannit Sumawong
published in: European Journal of Operational Research
publication date: 2018-10-30T00:00:00Z
full work available at URL: texsubmissionSRO.pdf
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6968126
zbMATH Keywords: finance
zbMATH Keywords: backtesting
zbMATH Keywords: margin rules
zbMATH Keywords: median tail loss
zbMATH Keywords: WTI crude oil
MaRDI profile type: Publication
OpenAlex ID: W2888069996
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Wikidata QID: Q129359339
DOI: 10.1016/J.EJOR.2018.08.006
description: scientific article; zbMATH DE number 6968126