A libor market model including credit risk under the real-world measure
Sara Dutra Lopes and Carlos Vázquez
| Year of publication: |
2020
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|---|---|
| Authors: | Lopes, Sara Dutra ; Vázquez, Carlos |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 3, p. 111-141
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| Subject: | logonormal forward rates | credit ratings | real-world measure | market price of risk | scenario simulation | capital requirement | Kreditrisiko | Credit risk | Theorie | Theory | Zinsstruktur | Yield curve | Kreditwürdigkeit | Credit rating | Portfolio-Management | Portfolio selection | Zinsderivat | Interest rate derivative | Derivat | Derivative | Simulation | Messung | Measurement | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.399 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012544160