Emmanouil Karimalis

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Market Liquidity, Closeout Procedures and Initial Margin for CCPs

Bank of England Working Paper No. 643
Number of pages: 31 Posted: 06 Feb 2017
Fernando Cerezetti, Anannit Sumawong, Ujwal Shreyas and Emmanouil Karimalis
Bank of England, University of Sussex, Bank of England and Bank of England
Downloads 112 (266,715)
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CCPs, market liquidity, closeout procedures, initial margin

2.

Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies

Bank of England Working Paper No. 655
Number of pages: 34 Posted: 10 Apr 2017
Emmanouil Karimalis, Ioannis Kosmidis and Gareth Peters
Bank of England, Department of Statistical Science, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 104 (280,903)
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Stress-testing, term structure, yield curve, liquidity risk, credit risk