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22 pages • missing pub info (view editions)
ISBN/UID: 9781288711413
Format: Paperback
Language: English
Publisher: Bibliogov
Edition Pub Date: 06 February 2013
Description
Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces...
Community Reviews
Content Warnings
22 pages • missing pub info (view editions)
ISBN/UID: 9781288711413
Format: Paperback
Language: English
Publisher: Bibliogov
Edition Pub Date: 06 February 2013
Description
Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces...
Community Reviews
Content Warnings