David Li

Securities and Exchange Commission (SEC)

450 Fifth Street, NW

Washington, DC 20549-1105

United States

SCHOLARLY PAPERS

2

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250

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1

Scholarly Papers (2)

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1.

Correlation Breakdowns, Spread Positions, and CCP Margin Models 1

Number of pages: 27 Posted: 02 Feb 2021
David Li, Fernando Cerezetti and Roy Cheruvelil
Securities and Exchange Commission (SEC), EACH Risk Committee and Securities and Exchange Commission (SEC)
Downloads 250 (260,207)
Citation 1

Abstract:

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Correlation, Multivariate t-Copula, VaR, Expected Shortfall, Constant Conditional Correlation (CCC), Dynamic Conditional Correlation (DCC), Historical Simulation (HS), Filtered Historical Simulation (FHS), Spread Positions, Nasdaq, COVID, Volatility Forecast, Correlation Forecast, Covariance Forecast

2.

Alternative Margin Models for Mortgage-Backed Securities

JOURNAL OF FINANCIAL MARKET INFRASTRUCTURES, VOLUME 11, NUMBER 2 (MARCH 2024) PAGES: 39-73 DOI: 10.21314/JFMI.2024.002 https://www.risk.net/journal-of-financial-market-infrastructures/7959348/alternative-margin-models-for-mortgage-backed-securities
Posted: 21 May 2024
Viktoria Baklanova, David Li and Roy Cheruvelil
Securities and Exchange Commission (SEC), Securities and Exchange Commission (SEC) and Securities and Exchange Commission (SEC)

Abstract:

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agency mortgage-backed securities (MBSs); generalized autoregressive conditional heteroscedasticity t-copula (GARCH-t-copula); filtered historical simulation (FHS); fat-tailed distribution; margin model; central clearing counterparties (CCPs)