Home
http://www.risk.net/
Homeen-gbEmulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basisThe 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.
https://www.risk.net/journal-of-credit-risk/7957443/emulating-the-standard-initial-margin-model-initial-margin-forecasting-with-a-stochastic-cross-currency-basis
https://www.risk.net/journal-of-credit-risk/7957443/emulating-the-standard-initial-margin-model-initial-margin-forecasting-with-a-stochastic-cross-currency-basis
Thu, 10 Aug 2023 12:08:47 +0100