Emmanouil Karimalis

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

306

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

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 University of California Santa Barbaraaffiliation not provided to SSRN
Downloads 175 (235,518)
Citation 1

Abstract:

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Stress-testing, term structure, yield curve, liquidity risk, credit risk

2.

Market Liquidity, Closeout Procedures and Initial Margin for CCPs

Bank of England Working Paper No. 643
Number of pages: 31 Posted: 06 Feb 2017
Bank of England, University of Sussex, Bank of England and Bank of England
Downloads 131 (297,440)
Citation 2

Abstract:

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CCPs, market liquidity, closeout procedures, initial margin