OTC Under Central Clearing: Risk Measures For Liquidity Constraints

Of course, it is not just the risk margin that can vary. The total liquidity need is to support changes in both variation and risk margin, and so the relationship between the two is another crucial aspect to analyze. Continuing the example from above, we plot the weekly changes in variation and risk...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Derivatives Week 2012-07
1. Verfasser:	Finger, Christopher
Format:	Artikel
Sprache:	eng
Schlagworte:	Default Defense Derivatives Interest rate swaps Liquidity Margin requirements Standard deviation Volatility
Online-Zugang:	Volltext
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