-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathref.bib
186 lines (161 loc) · 4.81 KB
/
ref.bib
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
@BOOK{Smith:2012qr,
title = {{B}ook {T}itle},
publisher = {Publisher},
author = {Smith, J.~M. and Jones, A.~B.},
year = {2012},
edition = {7th},
}
@ARTICLE{EURTSMarginReform,
author = {European Supervisory Authorities},
title = {Final Technical Standards on Margin Requirements for Non-Centrally Cleard Derivatives},
year = {2016},
journal = "EU web site"
}
@ARTICLE{Smith:2013jd,
author = {Jones, A.~B. and Smith, J.~M.},
title = {{A}rticle {T}itle},
journal = {{J}ournal {T}itle},
year = {2013},
volume = {13},
pages = {123-456},
number = {52},
month = {March},
publisher = {Publisher}
}
@ARTICLE{MSCI_backtesting,
author = {MSCI},
title = {Technical Note - Backtesting Counterparty Credit Risk Models},
year = {2014},
publisher = {https://id.msci.com/idp/Authn/UserPassword}
}
@ARTICLE {isda_im_method_2016,
author = "{ISDA Working Group on Margin Requirements}",
title = "ISDA SIMM Methdology version R1.0",
journal = "ISDA",
year = "2016"
}
@ARTICLE {isda_im_cacl_process_2016,
author = "{ISDA Working Group on Margin Requirements}",
title = "Uncleared Initial Margin Calculations and Processes Related to the ISDA WGMR SIMM Initiative,",
journal = "ISDA",
year = "2016"
}
@ARTICLE {isda_simm_2016,
author = "{ISDA Working Group on Margin Requirements}",
title = "SIMM - From Principles to Model Specification",
journal = "ISDA",
year = "2016"
}
@article{anfuso2016sound,
title={A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements},
author={Anfuso, Fabrizio and Aziz, Daniel and Giltinan, Paul and Loukopoulos, Klearchos},
year={2016},
journal = "SSRN"
}
@article{andersen2016rethinking,
title={Rethinking Margin Period of Risk},
author={Andersen, Leif BG and Pykhtin, Michael and Sokol, Alexander},
year={2016},
journal = "SSRN"
}
@article{Basel2010Backtesting,
title={Sound Practices for Backtesting Counterparty Credit Risk Models},
author={{Basel Committee on Banking Supervision }},
year={2010},
journal = "BIS web site"
}
@article{Basel1996VaRBacktesting,
title={Supervisory framework for the use of “backtesting” in conjunction with the internal models approach to market risk captial requirements},
author={{Basel Committee on Banking Supervision} },
year={1996},
journal = "BIS web site"
}
@article{Basel2011BaselIII,
title={Basel III: international regulatory framework for banks},
author={{Basel Committee on Banking Supervision} },
year={2011},
journal = "BIS web site"
}
@BOOK{gregory2012Counterparty,
title = {Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets},
publisher = {Wiley},
author = {Jon Gregory},
year = {2012}
}
@ARTICLE{risk2015AADGPU,
author = {Sherif, N},
title = {AAD vs GPUs: Banks Turn to Maths Tricks as Chips Lose Appeal},
journal = {Risk},
year = {2015},
month = {January}
}
@BOOK{Hansen2017Econometrics,
title = {Econometrics Lecture Notes in University of Wisconsin},
author = {Bruce E Hansen},
year = {2017}
}
@BOOK{Silverman1986Density,
title = {Density Estimation for Statistics and Data Analysis},
author = {Silverman, B.},
publisher = {Chapman \& Hall},
year = {1986},
}
@ARTICLE{longstaffSchwartz2001AMC,
author = {Longstaff F, Schwartz E},
title = {Valuing American Options by Simulation: A Simple Least-Squares Approach},
journal = {Review of Financial Studies},
year = {2011},
volume = {14},
pages = {113-147},
}
@ARTICLE{cornishFisher1960,
author = {Ronald A Fisher, E.A. Cornish},
title = {The Percentile Points of Distributions Having Known Cumulants},
journal = {Technometrics},
year = {1960},
volume = {2},
pages = {209-225},
number = {2},
month = {May}
}
@ARTICLE{ruiz2014backtesting,
author = {Ruiz, I.},
title = {Backtesting Counterparty Risk : How Good is your Model?},
journal = {Journal of Credit Risk},
year = {2014},
volume = {10},
pages = {87-120},
number = {1},
month = {March}
}
@ARTICLE{cramer1928,
author = {Cramer, H.},
title = {On the Composition of Elementary Errors},
journal = {Scandinavian Actuarial Journal},
pages = {13-74},
year = {1928},
Number = {1}
}
@BOOK{vonmises1928,
title = {Wahrscheinlichkeit, Statistik und Wahrheit},
publisher = {Julius Springer},
author = {Von Mises, R.~E},
year = {1928}
}
@ARTICLE{kolmogorov1933,
author = {Kolmogorov, A.},
title = {Sulla determinazione empirica di una legge di distribuzione},
journal = {Giornale dell’Istituto Italiano degli Attuari},
year = {1933},
volume = {4},
pages = {83-91},
}
@ARTICLE{Quirk:1962,
author = {Quirk, J.~P. and Saposnik, R.},
title = {Admissibility and Measurable Utility Functions"},
journal = {The Review of Economics Studies},
year = {1962},
volume = {29},
pages = {140-146},
month = {February},
}