Paul Giltinan

Quaternion Risk Management

Principal Consultant

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

http://www.quaternion.com

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 28,451

SSRN RANKINGS

Top 28,451

in Total Papers Downloads

2,298

SSRN CITATIONS
Rank 29,988

SSRN RANKINGS

Top 29,988

in Total Papers Citations

9

CROSSREF CITATIONS

20

Scholarly Papers (2)

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
Credit Suisse Securities (Europe) Limited, Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse Securities (Europe) Limited
Downloads 1,355 (18,874)
Citation 18

Abstract:

Loading...

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

2.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Acadia Inc., Quaternion Risk Management, Quaternion Risk Management and AcadiaSoft
Downloads 943 (32,069)
Citation 17

Abstract:

Loading...

Initial Margin, BCBS-IOSCO, SIMM, MVA, XVA, CCP