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1. 1. Model for Central Counterparty Risk with Stochastic Default Intensities

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Francesco Marconi; [2021-09-30]
   Nyckelord :;

   Sammanfattning : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. LÄS MER