Nikolai Nowaczyk

Quaternion Risk Management

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

  • Quaternion Risk Management

SCHOLARLY PAPERS

5

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CITATIONS
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13

Scholarly Papers (5)

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1.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Peter Caspers, Paul Giltinan, Roland Lichters and Nikolai Nowaczyk
Quaternion Risk Management, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 721 (34,066)
Citation 12

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Initial Margin, BCBS-IOSCO, SIMM, MVA, XVA, CCP

2.

Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments

Number of pages: 47 Posted: 09 Nov 2011
Joerg Kienitz and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics and Quaternion Risk Management
Downloads 143 (201,906)

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Libor Marekt Model, Adjoint Method, Affine Recursion, Bermudan Swaption, Trigger Swaps

3.

Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System

Number of pages: 8 Posted: 01 Jun 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 134 (212,832)
Citation 1

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Big Data, Graph Theoretic Models, Stochastic Linear Gauss-Markov Model, Monte Carlo Simulation, Financial Risk Analytics, Collateralizations, Variation Margin, Initial Margin, Open Source Risk Engine

4.

A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk

Number of pages: 17 Posted: 22 Dec 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 130 (217,996)
Citation 1

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big data, graph theoretic models, data science, machine learning, Python, C , random graph generation, stochastic Linear Gauss-Markov model, Monte Carlo simulation, financial risk analytics, systemic risk, collateralizations, variation margin, initial margin, open source risk engine, financial regu

5.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 27 Sep 2018
Thomas McWalter, Joerg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp Kaya Acar
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Quaternion Risk Management, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 91 (280,013)
Citation 1

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions