Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty by Michael S. Gibson

Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty

Michael S. Gibson

22 pages missing pub info (editions)

nonfiction politics
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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...

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