Home » References » Recent Advances in Modeling Liquidity Risk and Applications to Central Clearing

Recent Advances in Modeling Liquidity Risk and Applications to Central Clearing

Marco Avellaneda, Global Derivatives USA, Recent Advances in Modeling Liquidity Risk and Applications to Central Clearing, here.

  • Liquidity in risk management: listed markets, OTC Markets
  • Liquidity-adjusted VaR for directional exposures
  • BM&F Bovespa’s Close-out Risk Evaluation (CORE)
  • Modeling Liquidity Charges in OTC Markets & Liquidity Polls
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