Procyclicality of Risk-based Initial Margin Models
The study presents a method to evaluate the responsiveness of initial margin calculation models during periods of high market volatility.
Featured in No. 39 on 6 Mar 2024 · 20 days after release
- Released
- 15 Feb 2024
- First featured
- No. 39 · 6 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 64
- Identifier
- SSRN 4747312
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