Code: 08274358
Finance and Economics Discussion Series
by Michael S Gibson
Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how ... more
- Language:
English - Binding: Paperback
- Number of pages: 22
Publisher: Bibliogov, 2013
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Book synopsis
Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterp
Book details
Book category Books in English Society & social sciences Politics & government
16.31 €
- Full title: Finance and Economics Discussion Series
- Subtitle: Measuring Counterparty Credit Exposure to a Margined Counterparty
- Author: Michael S Gibson
- Language: English
- Binding: Paperback
- Number of pages: 22
- EAN: 9781288711413
- ISBN: 9781288711413
- ID: 08274358
- Publisher: Bibliogov
- Weight: 59 g
- Dimensions: 246 × 189 × 1 mm
- Date of publishing: 06. February 2013
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