Dynamic Initial Margin Estimation based on Quantiles of Johnson Distributions


A new accurate approach to estimate dynamic initial margin (DIM) for general portfolios, based on regression using Johnson distributions fitted to conditional moments approximated with least squares MC (JLSMC), is described.... [ view full abstract ]


  1. Thomas McWalter (University of Cape Town)
  2. Joerg Kienitz (University of Cape Town)
  3. Nikolai Nowaczyk (Quaternion Risk Management)
  4. Ralph Rudd (University of Cape Town)
  5. Sarp Acar (Quaternion Risk Management)

Topic Areas

Computational Finance , CVA-XVA Models , Simulation


WE-P-DA » Systemic Risk (14:30 - Wednesday, 18th July, Davis)

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