Revising SA-CCR

We propose revising SA-CCR to RSA-CCR by making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model.The technical appendix to this paper can be found at: "https://ssrn.com/abstract=3329545" https://ssrn.com/abstract=3329545.Accepted for publication in Risk in this form, but will appear in shortened form due to page limitations

MoreLess

Year of publication:	2019
Authors:	Berrahoui, Mourad
Other Persons:	Islah, Othmane (contributor) ; Kenyon, Chris (contributor)
Publisher:	[2019]: [S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012893470