Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting
Year of publication: |
2011
|
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Authors: | Brigo, Damiano |
Other Persons: | Capponi, Agostino (contributor) ; Pallavicini, Andrea (contributor) ; Papatheodorou, Vasileios (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Kreditsicherung | Collateral | Kreditrisiko | Credit risk | Arbitrage Pricing | Arbitrage pricing | Derivat | Derivative |
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 20, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1744101 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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