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20102022
most citedMVA: Initial Margin Valuation Adjustment by Replication and Regression

19 citations · 32 across the 21 of their papers we have counts for

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Showing 2017Show all

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q-fin.RM2017

Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL

Chris Kenyon, Mourad Berrahoui, Benjamin Poncet

The utility of Potential Future Exposure (PFE) for counterparty trading limits is being challenged by new market developments, notably widespread regulatory Initial Margin (using 9…