Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Year: 2014
Type: article
Source: Journal of Financial Engineering
Authors: Damiano Brigo, Andrea Pallavicini
Institutions: Capco (United States), Imperial College London
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: closed
OpenAlex ID: W2133608028