A Dynamic Model Of Central Counterparty Risk
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DOI: 10.1142/S0219024918500504
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- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera & Thorsten Schmidt, 2019. "Fair Estimation of Capital Risk Allocation," Papers 1902.10044, arXiv.org, revised Nov 2019.
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Keywords
Central clearing parties; default fund; initial margin; dynamic risk measure; Markov structures; credit default swap; default waterfall; credit migration;All these keywords.
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