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Search: subject:"Collateral modeling"
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Journal of financial engineering
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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Journal of financial engineering
1
(
2014
)
1
,
pp. 1-60
Persistent link: https://www.econbiz.de/10010508128
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