Potential Future Exposure in the Presence of Initial Margin

dc.contributor.advisorMcWalter, Thomas
dc.contributor.authorNevin, James
dc.date.accessioned2020-02-06T12:25:57Z
dc.date.available2020-02-06T12:25:57Z
dc.date.issued2019
dc.date.updated2020-02-04T06:49:23Z
dc.description.abstractThis 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.
dc.identifier.apacitationNevin, J. (2019). <i>Potential Future Exposure in the Presence of Initial Margin</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/30891en_ZA
dc.identifier.chicagocitationNevin, James. <i>"Potential Future Exposure in the Presence of Initial Margin."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/30891en_ZA
dc.identifier.citationNevin, J. 2019. Potential Future Exposure in the Presence of Initial Margin.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Nevin, James AB - 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. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2019 T1 - Potential Future Exposure in the Presence of Initial Margin TI - Potential Future Exposure in the Presence of Initial Margin UR - http://hdl.handle.net/11427/30891 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/30891
dc.identifier.vancouvercitationNevin J. Potential Future Exposure in the Presence of Initial Margin. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/30891en_ZA
dc.language.rfc3066eng
dc.publisher.departmentAfrican Institute of Financial Markets and Risk Management
dc.publisher.facultyFaculty of Commerce
dc.subjectMathematical Finance
dc.titlePotential Future Exposure in the Presence of Initial Margin
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhil
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