Alexander Sokol

CompatibL

CEO and Head of Quant Research

100 Overlook Center

Second Floor

Princeton, NJ 08540

United States

http://www.compatibl.com

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 9,587

SSRN RANKINGS

Top 9,587

in Total Papers Downloads

4,792

CITATIONS
Rank 19,605

SSRN RANKINGS

Top 19,605

in Total Papers Citations

34

Scholarly Papers (4)

1.

Modeling the Short Rate: The Real and Risk-Neutral Worlds

Rotman School of Management Working Paper No. 2403067
Number of pages: 19 Posted: 02 Mar 2014 Last Revised: 03 Jul 2014
John C. Hull, Alexander Sokol and Alan White
University of Toronto - Rotman School of Management, CompatibL and University of Toronto - Rotman School of Management
Downloads 1,929 (7,614)
Citation 6

Abstract:

Loading...

Real World Measure, Market Price of Risk, PFE, CVA, Limits, Liquidity, Solvency II, Interest Rate Models, Short Rate, Monte Carlo, Long Term Simulation, Potential Future Exposure, Joint Measure

2.

Rethinking Margin Period of Risk

Number of pages: 35 Posted: 22 Jan 2016
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,744 (8,998)
Citation 7

Abstract:

Loading...

Margin Period of Risk, Swaps, Collateral, Credit Exposure, CVA

3.

Credit Exposure in the Presence of Initial Margin

Number of pages: 20 Posted: 08 Jul 2016 Last Revised: 09 May 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,116 (18,270)
Citation 15

Abstract:

Loading...

margin period of risk, initial margin, credit exposure, uncleared margin rules, kernel regression

4.

Rethinking the Margin Period of Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017
Number of pages: 45 Posted: 23 Jan 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 3 (626,349)
  • Add to Cart

Abstract:

Loading...

collateralized positions; initial margin; collateralized exposure; bilateral trading relationships.