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Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin. (2022). Kun, Lucia Cipolina.
In: Papers.
RePEc:arx:papers:2002.04563.

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  1. Andersen, L and Pykhtin, M and Sokol, A. Credit Exposure in the Presence of Initial Margin. (July 22, 2016). Available at SSRN: https://ssrn.com/abstract=2806156
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  2. Andersen, Leif and Pykhtin M editors. Margin in Derivaties Trading.(2018). Risk Books.
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  3. Andersen, Leif B.G. and Dickinson, Andrew Samuel. Funding and Credit Risk with Locally Elliptical Portfolio Processes: An Application to CCPs. (April 11, 2018). Available at SSRN: https://ssrn.com/abstract=316115
    Paper not yet in RePEc: Add citation now
  4. Anfuso, Fabrizio and Aziz, Daniel and Giltinan, Paul and Loukopoulos, Klearchos. A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements. (January 11, 2017). Available at SSRN: https://ssrn.com/abstract=2716279
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  5. Basel Committee on Banking Supervision and International Organization of Securities Commissions (2015). Margin Requirements for Non-Centrally Cleared Derivatives. D317 March 2015.
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  6. Carrier, J. Valuation of early-exercise price of options using simulations and nonparametric regression. Insurance: Mathematics and Economics19, 19-30 (1996).
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  7. Caspers, Peter and Giltinan, Paul and Lichters, Roland and Nowaczyk, Nikolai. Forecasting Initial Margin Requirements - A Model Evaluation. (February 3, 2017). Available at SSRN: https://ssrn.com/abstract=2911167

  8. Chan, Justin and Zhu, Shengyao and Tourtzevitch, Boris. Practical Approximation Approaches to Forecasting and Backtesting Initial Margin Requirements. (November 29, 2017). Available at SSRN: https://ssrn.com/abstract=3079782
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  9. Dahlgren, Martin. Forward Valuation of Initial Margin in Exposure and Funding Calculations.(2018) Margin in Derivatives Trading, ch 9. Risk Books.
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  10. Garcia Trillos, Camilo and Henrard, Marc and Macrina, Andrea. Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework. (February 3, 2016). Available at SSRN: https://ssrn.com/abstract=2682727
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  11. Green, Andrew David and Kenyon, Chris. MVA: Initial Margin Valuation Adjustment by Replication and Regression.(January 12, 2015) Available at SSRN: https://ssrn.com/abstract=2432281.

  12. Hernandez, Andres. Estimating Future Initial Margin with Machine Learning. (March, 2017). PWC.
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  13. ISDA SIMM Methodology, version 2.1, Effective Date: December 2018.
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  14. Longstaff, Francis A. and Schwartz, Eduardo S. Valuing American Options by Simulation: A Simple Least-Squares Approach.(October 1998). Available at SSRN: https://ssrn.com/abstract=137399
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  15. Luenberg, David Optimization by Vector Space Methods.(1969). Wiley.
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  16. Ma, Xun and Spinner, Sogee and Venditti, Alex and Li, Zhao and Tang, Strong. Initial Margin Simulation with Deep Learning.(March 21, 2019). Available at SSRN: https://ssrn.com/abstract=3357626
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  17. Sodhi, Anurag. American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo.(August, 2018). Available at https://arxiv.org/abs/1808.02791

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  4. Mathematical Foundations of Regression Methods for the approximation of the Forward Initial Margin. (2022). Kun, Lucia Cipolina.
    In: Papers.
    RePEc:arx:papers:2002.04563.

    Full description at Econpapers || Download paper

  5. Estimating Future VaR from Value Samples and Applications to Future Initial Margin. (2021). Ganesan, Narayan ; Hientzsch, Bernhard.
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  6. xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT. (2020). Wu, Lixin ; Zhang, Dawei.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  7. Dynamic Initial Margin via Chebyshev Tensors. (2020). Zeron, Mariano ; Ruiz, Ignacio.
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  8. A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral. (2018). Tumasyan, Hovik.
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  10. Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives. (2018). Luo, Zhongmin ; Brummelhuis, Raymond.
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  11. MVA Transfer Pricing. (2016). Lou, Wujiang.
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  12. Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences. (2015). Kenyon, Chris ; Green, Andrew.
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  13. KVA: Capital Valuation Adjustment. (2014). Kenyon, Chris ; Green, Andrew.
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