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Keywords: Initial margin
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (5): 543–557.
Published: 15 June 2020
...Modisane Bennett Seitshiro; Hopolang Phillip Mashele Purpose The purpose of this paper is to propose the parametric bootstrap method for valuation of over-the-counter derivative (OTCD) initial margin (IM) in the financial market with low outstanding notional amounts. That is, an aggregate...
