|
1.
|
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 |
|
|
2.
|
We test the prevalence, sources and effects of herding among large speculative traders in thirty U.S. futures markets over 2004-2009. We find significant herding levels w[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
3.
|
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 |
|
