Christoph M. Puetter
Christoph M. Puetter is a quantitative data and research analyst with the Financial Risk Analytics group at S&P Global, where he focusses on xVA modeling and solutions.
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Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
The authors propose a stochastic cross-currency basis model extension to resolve the impact of missing risk factors when estimating initial margin and margin valuation adjustments in cross-currency basis swaps.