W. Cheng

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 38,669

SSRN RANKINGS

Top 38,669

in Total Papers Downloads

1,094

CITATIONS
Rank 37,774

SSRN RANKINGS

Top 37,774

in Total Papers Citations

9

Scholarly Papers (4)

1.

Firm Capital Dynamics in Centrally Cleared Markets

Number of pages: 41 Posted: 26 Dec 2014 Last Revised: 17 Jul 2019
Columbia University, AQR Capital Management, LLC and Government of the United States of America - Office of Financial Research
Downloads 396 (72,691)
Citation 4

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 AQR Capital Management, LLC
Downloads 320 (92,787)
Citation 1

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, AQR Capital Management, LLC and Columbia University
Downloads 198 (151,346)
Citation 1

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, AQR Capital Management, LLC, Yale School of Management and Commodity Futures Trading Commission (CFTC)
Downloads 180 (165,130)
Citation 3

Abstract:

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