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Dynamic initial margin estimation based on quantiles of Johnson distributions - Journal of Credit Risk

Year
Secondary
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Abstract
The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results
Author
Risk.net
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Journal
https://www.risk.net/node/7955228
Published
2022/11/18
Retrieved
2022/11/18 11:49
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