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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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