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Value-at-Risk, filtered historical simulation, conditional volatility, volatility scaling, risk model backtesting
Value-at-Risk, Backtesting, Filtered Historical Simulation, Loss Functions, Consistent Score Functions
Short-selling bans, Liquidity, Price discovery
Interest rate futures, day-of-the-week effects, trading patterns
Central Counterparties (CCP), Procyclicality, Initial Margin Models, Filtered Historical Simulation
interest rates futures, monetary policy, TIIE futures
Short-term interest rates futures, maturity effect, volatility, term structure interest rates
settlement, post-trade process, settlement discipline, cascade effects, buy-in
Payment systems, tiering
Investor types, liquidity, price efficiency, price discovery, emerging markets
Central counterparties (CCPs), procyclicality, initial margin (IM), margin models, filtered historical simulation
bond markets, all-to-all trading, market transparency
Circuit breakers, COVID-19, market quality, market-wide circuit breakers, Limit Up/Limit Down
central counterparties (CCPs), procyclicality, initial margin (IM), margin models, filtered historical simulation
SU-distributions, normal mixture, skewed Student distribution, exchange rates