ICMA, University of Reading
in Total Papers Downloads
in Total Papers Citations
Backtesting, Capital Requirements, Basel 3, Exposure Models
SA-CCR, OTC, IMM, Capital, Counterparty Credit Risk, Initial Margin
volatility forecasts, high-frequency data, implied volatility, VIX, jumps, microstructure noise
volatility, high-frequency data, jumps, microstructure noise
KVA, PFE, credit limits, stress testing
quity risk premium, predictability, out-of-sample forecasting, economic constraints, predictive regression, asset allocation, business cycles, profitability, trading strategies
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