Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Giacomo Bormetti, Damiano Brigo, Marco Francischello, Andrea Pallavicini
| Year of publication: |
January 2018
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|---|---|
| Authors: | Bormetti, Giacomo ; Brigo, Damiano ; Francischello, Marco ; Pallavicini, Andrea |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 1, p. 31-44
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| Subject: | Yield curve dynamics | Multiple curve framework | HJM framework | Interest rate derivatives | Basis swaps | Counterparty credit risk | Liquidity risk | Funding costs | Collateral modeling | Overnight rates | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Derivat | Derivative | Zinsderivat | Interest rate derivative | Kreditsicherung | Collateral | Swap | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1339905 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905822