Interest Rate Swap Credit Valuation Adjustment
Year of publication: |
2014-05
|
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Authors: | Witzany, Jiří ; Èerný, Jakub |
Institutions: | Institut ekonomických studií, Univerzita Karlova v Praze |
Subject: | Counterparty Credit Risk | Credit Valuation Adjustment | Wrong-way Risk | Risky Swaption Price | Semi-analytical Formula | Interest Rate Swap Pricecointegration test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014/16 20 pages longages |
Classification: | C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Interest rate swap credit valuation adjustment
Černý, Jakub, (2014)
-
Interest rate swap credit valuation adjustment
Černý, Jakub, (2014)
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