Margining Systems For An Energy Exchange

Name: Margining Systems For An Energy Exchange
Brand: VDM Verlag
SKU: 9783639346268
Price: 50.97 EUR
Availability: InStock

Автор: Marcus Keppeler

Език:

Корици: С меки корици

Издател: VDM Verlag

Наличност: Налично при издателя, по поръчка

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A clearing houses acting as central counterparty collects collaterals via margin calls to cover a po...

Информация за книгата

Автор

Marcus Keppeler

Език

Английски език

Корици

Книга - С меки корици

Издадена

2011

страници

108

EAN

9783639346268

ISBN

3639346262

Enbook ID

06841129

Издател

VDM Verlag

Теглоt

168

Размери

152 x 229 x 7

Пълно описание

A clearing houses acting as central counterparty collects collaterals via margin calls to cover a portfolio's market risk. Over the past few years exchange trading volumes in commodity trading and in particular for energy related products have grown massively. At the same time the margin models applied by clearing houses have hardly changed. The margin systems SPAN and TIMS are based on simple calculation methodologies from the 1970s but are still by far the most used systems by clearing houses. This work introduces the concept of copula in which marginal distributions of the single risk factors can be modelled separately from their multivariate dependence structure. It compares a T-copula model and a variation of it, the grouped T-copula, with a Gaussian copula and the TIMS system and proves the superiority of the T-copula models.

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Margining Systems For An Energy Exchange

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също