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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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| _version_ | 1867613158226526208 |
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| access_status_str | Open Access |
| author | Nevin, James |
| author2 | McWalter, Thomas |
| author_browse | McWalter, Thomas Nevin, James |
| author_facet | McWalter, Thomas Nevin, James |
| author_sort | Nevin, James |
| collection | Thesis |
| description | 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 calculating initial margin considered are nested Monte Carlo, and Gaussian Least Squares Monte Carlo. These two techniques are compared for effectiveness. It is shown that the nested Monte Carlo technique performs well under numerous conditions, and that the Gaussian Least Squares Monte Carlo relies on particular model and instrument characteristics. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/30891 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:41.113Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/30891 Potential Future Exposure in the Presence of Initial Margin Nevin, James McWalter, Thomas Mathematical Finance 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 calculating initial margin considered are nested Monte Carlo, and Gaussian Least Squares Monte Carlo. These two techniques are compared for effectiveness. It is shown that the nested Monte Carlo technique performs well under numerous conditions, and that the Gaussian Least Squares Monte Carlo relies on particular model and instrument characteristics. 2020-02-06T12:25:57Z 2020-02-06T12:25:57Z 2019 2020-02-04T06:49:23Z Master Thesis Masters MPhil http://hdl.handle.net/11427/30891 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Nevin, James Potential Future Exposure in the Presence of Initial Margin |
| thesis_degree_str | Master's |
| title | Potential Future Exposure in the Presence of Initial Margin |
| title_full | Potential Future Exposure in the Presence of Initial Margin |
| title_fullStr | Potential Future Exposure in the Presence of Initial Margin |
| title_full_unstemmed | Potential Future Exposure in the Presence of Initial Margin |
| title_short | Potential Future Exposure in the Presence of Initial Margin |
| title_sort | potential future exposure in the presence of initial margin |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/30891 |
| work_keys_str_mv | AT nevinjames potentialfutureexposureinthepresenceofinitialmargin |