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Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash
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Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash (1999)Valuing the Futures Market Clearinghouse'…Empirical Option Pricing Models (2022)Empirical Option Pricing Mode…Derivatives Clearing, Default Risk, and Insurance (2012)Derivatives Clearing, Default…The Crisis of 1873: Perspectives from Multiple Asset Classes (2008)The Crisis of 1873: Perspecti…A theoretical framework to evaluate different margin‐setting methodologies (2003)A theoretical framework to ev…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modelling Extremal Events (1997)Extreme Correlation of International Equity Markets (2001)Market Liquidity and Funding Liquidity (2008)CoMargin (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)
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  • 2012Derivatives Clearing, Default Risk, and Insurance29 cited
  • 2022Empirical Option Pricing Models25 cited
  • 2003A theoretical framework to evaluate different margin‐setting methodologies25 cited
  • 2008The Crisis of 1873: Perspectives from Multiple Asset Classes22 cited

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