Evaluating the credit exposure of interest rate derivatives under the real-world measure
Takashi Yasuoka
| Year of publication: |
2018
|
|---|---|
| Authors: | Yasuoka, Takashi |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 4, p. 69-95
|
| Subject: | counterparty credit risk (CCR) | interest rate model | interest rate risk management | market price of risk | potential future exposure | real-world simulation | Kreditrisiko | Credit risk | Derivat | Derivative | Zinsrisiko | Interest rate risk | Zinsderivat | Interest rate derivative | Theorie | Theory | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Risikomanagement | Risk management | Hedging | Zins | Interest rate | OTC-Handel | OTC market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2018.195 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011992271