Title |
Methodology for Determining the Parameters Used in Margins Calculation for Fixed Income Instruments |
|---|---|
Author(s) |
Polito Marco - Risk Management Dept., CC&G |
Language |
English |
Date of Publication |
2002 |
Number of pages |
21 |
Table of contents |
1. Description of the Methodology
2. Determining the Margin Interval for each Vertex of the Zero Coupon Curve 3. Correlations 4. Defining the Duration Classes 5. Determining the Intra-Class Offset Factor COF 6. Detemining the Inter–Class Offset Factor XOF 7. Priorities in Applying the Inter–Class Offset Factors XOF 8. Determining the Margin Interval for Each Duration Class |
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