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Potential Future Exposure in the Presence of Initial Margin
This dissertation considers the concept of potential future exposure, and how initial margin can be used to mitigate it. In addition to this, the cost of implementing initial margin is estimated, and some of the difficulties associated with it are addressed. The two primary techniques for calculatin...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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