This study, conducted by the Swiss Financial Institute of the University of Lugano, explores Filtered Historical Simulation to estimate the potential losses a CCP would face in case of a multiple default.
Click here for the study
Broker/Dealer is a Bennington BV Initiative
Even though we give it our best effort to make the information here as accurate and legit as possible, we take no responsibility for the content. Sponsors especially bear no responsibility for the content of this site. That is not much different from what any other site tells you in their endlessly long disclaimers. We just make it short and clear. Still want the long version? Click here
