Liquidity risk in derivatives valuation : an improved credit proxy method
Sumit Sourabh, Markus Hofer and Drona Kandhai
| Year of publication: |
March 2018
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|---|---|
| Authors: | Sourabh, Sumit ; Hofer, Markus ; Kandhai, Drona |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 3, p. 467-481
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| Subject: | Credit default swaps | Liquidity risk | CVA | Value at Risk (VaR) | Risikomaß | Risk measure | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Risikomanagement | Risk management | Risiko | Risk | Liquidität | Liquidity | Bankenliquidität | Bank liquidity | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1315166 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906396