Christophe Hurlin - Latest - Bank of Canada
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2024-03-28T14:21:18+00:00
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CoMargin
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+00:00
en
CoMargin
2013-12-20
Econometric and statistical methods
Financial institutions
Financial markets
Financial stability
Working Paper 2013-47
https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdf
CoMargin
Jorge Cruz Lopez
Jeffrey H. Harris
Christophe Hurlin
Christophe PĂ©rignon
December 2013
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