Margining Systems For An Energy Exchange : a copula based approach

Language: English

Published by VDM Verlag Dr. Müller, 2011

3639346262 / 9783639346268

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - A clearing houses acting as central counterparty collects collaterals via margin calls to cover a portfolio's market risk. Over the past few years exchange trading volumes in commodity trading and in particular for energy related products have grown massively. At the same time the margin models applied by clearing houses have hardly changed. The margin systems SPAN and TIMS are based on simple calculation methodologies from the 1970s but are still by far the most used systems by clearing houses. This work introduces the concept of copula in which marginal distributions of the single risk factors can be modelled separately from their multivariate dependence structure. It compares a T-copula model and a variation of it, the grouped T-copula, with a Gaussian copula and the TIMS system and proves the superiority of the T-copula models.

Seller Inventory # 9783639346268

Title
Margining Systems For An Energy Exchange : a copula based approach
Author
Marcus Keppeler
Publisher
VDM Verlag Dr. Müller
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3639346262
ISBN 13
9783639346268
Item weight
177 grams
Dimensions
22.00x15.00x0.60 cm

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

Shipping rates from Germany to U.S.A.

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