Melanie Houllier

The London Institute for Banking and Finance

25 Lovat Ln

London, EC3R 8EB

United Kingdom

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Scholarly Papers (1)

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Borderline: Judging the Adequacy of Return Distribution Estimation Techniques in Initial Margin Models

Bank of England Working Paper No. 673
Number of pages: 23 Posted: 06 Sep 2017
Melanie Houllier and David Murphy
The London Institute for Banking and Finance and London School of Economics - Law Department
Downloads 45 (461,089)

Abstract:

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Conditional volatility, filtered volatility, GARCH(1,1), initial margin model, model backtesting, volatility estimation