Daniel Aziz

Credit Suisse Securities (Europe) Limited

Quantitative Analyst

One Cabot Square

London, E14 4QJ

United Kingdom

  • Credit Suisse Securities (Europe) Limited

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 45,988

SSRN RANKINGS

Top 45,988

in Total Papers Downloads

1,405

SSRN CITATIONS
Rank 45,326

SSRN RANKINGS

Top 45,326

in Total Papers Citations

4

CROSSREF CITATIONS

11

Scholarly Papers (1)

Actions:
Email selected abstracts
1.

A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements

Number of pages: 14 Posted: 17 Jan 2016 Last Revised: 19 Jan 2017
Fabrizio Anfuso, Daniel Aziz, Paul Giltinan and Klearchos Loukopoulos
PRA, Bank Of England, Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse Securities (Europe) Limited
Downloads 1,405 (19,068)
Citation 18

Abstract:

Loading...

Initial Margin, BCBS-IOSCO, CCP, OTC, Clearing, Counterparty Credit Risk, XVA, Liquidity, Funding costs