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The appropriateness of ISDA SIMM for delta risk initial margin calculations in the South African over-the-counter interest rate swap market

Thesis (MCom)--Stellenbosch University, 2020.

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Bibliographic Details
Main Author:	Cronje, Robert
Other Authors:	Van der Merwe, Carel Johannes
Format:	Thesis
Language:	en_ZA
Published:	Stellenbosch : Stellenbosch University 2020
Subjects:	International Swap Dealers Association Rate of return > Statistical methods Initial value problems Interest rate swaps > South Africa Estimation of financial data Historical data > Statistical methods UCTD
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