Camilo A. Garcia Trillos

University College London - Department of Mathematics

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

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Scholarly Papers (1)

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Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework

Number of pages: 21 Posted: 30 Oct 2015 Last Revised: 03 Feb 2016
Camilo A. Garcia Trillos, Marc P. A. Henrard and Andrea Macrina
University College London - Department of Mathematics, muRisQ Advisory and University College London
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Abstract:

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Initial margin, margin valuation adjustment (MVA), multi-curve interest rate models, risk management