The cost of counterparty risk and collateralization in longevity swaps
Year of publication: |
2011-06-20
|
---|---|
Authors: | Biffis, Enrico ; Blake, David ; Pitotti, Lorenzo ; Sun, Ariel |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | longevity swap | counterparty risk | default risk | collateral | marking-to-market |
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