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1.
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We present CoMargin, a new methodology to estimate collateral requirements in derivatives central counterparties (CCPs). CoMargin depends on both the tail risk of a given[...]
2017 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail ris[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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We provide estimates of the collateral gap in the global and Canadian OTCD markets. Using the latest available data as of December 31 2011, it is estimated that current e[...]
2015 | Book Chapter | Peer-Reviewed Publications - Publications à comité de lecture |
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4.
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At the Pittsburgh Summit in 2009, G20 leaders agreed to wide-reaching reforms to over-the-counter (OTC) derivatives markets. One of these reforms required the clearing of[...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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