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

3

DOWNLOADS

1,061

SSRN CITATIONS
Rank 48,102

SSRN RANKINGS

Top 48,102

in Total Papers Citations

8

CROSSREF CITATIONS

6

Scholarly Papers (3)

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 428 (84,996)
Citation 10

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 368 (101,194)
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 265 (144,013)
Citation 2

Abstract:

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clearinghouses, risk-sharing, funding costs, default waterfall