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Seitshiro et al., 2020 - Google Patents

Valuation of initial margin using bootstrap method

Seitshiro et al., 2020

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Document ID
15384290053973229520
Author
Seitshiro M
Mashele H
Publication year
Publication venue
The Journal of Risk Finance

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Purpose The purpose of this paper is to propose the parametric bootstrap method for valuation of over-the-counter derivative (OTCD) initial margin (IM) in the financial market with low outstanding notional amounts. That is, an aggregate outstanding gross notional …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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    • G06Q10/00—Administration; Management
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