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wp2013-47
CoMargin
Lopez, Jorge Cruz ; Harris, Jeffrey H. ; Hurlin, Christophe ; Pérignon, Christophe
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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