A multiple-curve HJM model of interbank risk
Stéphane Crépey; Zorana Grbac; Hai-Nam Nguyen
| Year of publication: |
2012
|
|---|---|
| Authors: | Crépey, Stéphane ; Grbac, Zorana ; Nguyen, Hai Nam |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 6.2012, 3, p. 155-190
|
| Subject: | Zinsstruktur | Yield curve | Geldmarkt | Money market | Bankrisiko | Bank risk | Risiko | Risk | Interbankenmarkt | Interbank market | Theorie | Theory | CAPM | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009624635