W. Cheng

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 38,933

SSRN RANKINGS

Top 38,933

in Total Papers Downloads

1,178

SSRN CITATIONS
Rank 41,077

SSRN RANKINGS

Top 41,077

in Total Papers Citations

4

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.

Firm Capital Dynamics in Centrally Cleared Markets

Mathematical Finance, Forthcoming
Number of pages: 41 Posted: 26 Dec 2014 Last Revised: 22 Aug 2019
Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Government of the United States of America - Office of Financial Research
Downloads 414 (73,683)
Citation 6

Abstract:

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Central Clearing, Financial Institutions, Firm Capital Dynamics, Bilateral CDS Exposures

2.

Clearinghouse Margin Requirements

Operations Research, Forthcoming
Number of pages: 70 Posted: 05 Oct 2015 Last Revised: 30 Jan 2018
Agostino Capponi and W. Cheng
Columbia University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 332 (94,930)
Citation 2

Abstract:

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Margin requirements, central clearing, credit risk, market risk

3.

Clearinghouse Default Waterfalls: Risk-Sharing, Incentives, and Systemic Risk

Number of pages: 39 Posted: 09 Mar 2017 Last Revised: 31 Aug 2017
Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Downloads 224 (143,264)
Citation 2

Abstract:

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clearinghouses, risk-sharing, funding costs, default waterfall

4.

The Collateral Rule: An Empirical Analysis of the CDS Market

Number of pages: 57 Posted: 14 Nov 2017
Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Yale School of Management and Commodity Futures Trading Commission (CFTC)
Downloads 208 (153,681)
Citation 5

Abstract:

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Collateral Requirements, Clearinghouse, Credit Default Swaps, Value at Risk