Term rates, multicurve term structures and overnight rate benchmarks : a roll-over risk approach
Alex Backwell, Andrea Macrina, Erik Schlögl and David Skovmand
| Year of publication: |
2023
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|---|---|
| Authors: | Backwell, Alex ; Macrina, Andrea ; Schlögl, Erik ; Skovmand, David |
| Published in: |
Frontiers of mathematical finance : FMF. - Springfield, MO : AIMS, LLC, ISSN 2769-6715, ZDB-ID 3180026-9. - Vol. 2.2023, 3, p. 340-384
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| Subject: | Zinsstruktur | Yield curve | Geldmarkt | Money market | Benchmarking | Risiko | Risk |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/fmf.2023009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015374106