Elena Goldman

Lubin School of Business, Pace University

Professor, Department of Finance and Economics

1 Pace Plaza

New York, NY 10038-1502

United States

http://webpage.pace.edu/egoldman/

SCHOLARLY PAPERS

2

DOWNLOADS

37

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

Pace University Finance Research Paper No. 2018/03
Number of pages: 55 Posted: 15 Jul 2018
Elena Goldman and Xiangjin Shen
Lubin School of Business, Pace University and Government of Canada - Bank of Canada
Downloads 32 (494,227)

Abstract:

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CCP Initial Margins, Tail Risk, Risk Aversion, Procyclicality, Threshold GARCH, Spline, Threshold Autoregressive Model, Realized Variance

Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility

Journal of Risk, VOLUME 22, ISSUE 5 (JUNE 2020)
Number of pages: 42 Posted: 16 Jun 2020
Elena Goldman and Xiangjin Shen
Lubin School of Business, Pace University and Government of Canada - Bank of Canada
Downloads 4 (701,539)

Abstract:

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central clearing counterparty (CCP) initial margins, procyclicality, threshold generalized autoregressive conditional heteroscedasticity (GARCH), spline, threshold autoregressive model, tail risk

Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility

Journal of Risk, 2020, 22(5): 1-41
Number of pages: 41 Posted: 13 May 2020
Elena Goldman and Xiangjin Shen
Lubin School of Business, Pace University and Government of Canada - Bank of Canada
Downloads 1 (736,017)
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Abstract:

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central clearing counterparty (CCP) initial margins, procyclicality, threshold generalized autoregressive conditional heteroscedasticity (GARCH), spline, threshold autoregressive model, tail risk