Christophe Pérignon - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:28:39+00:00CoMargin
https://www.bankofcanada.ca/2013/12/working-paper-2013-47/
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.2013-12-20T10:09:24+00:00enCoMargin2013-12-20Econometric and statistical methodsFinancial institutionsFinancial marketsFinancial stabilityWorking Paper 2013-47https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdfCoMarginJorge Cruz LopezJeffrey H. HarrisChristophe HurlinChristophe PérignonDecember 2013GG1G13