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  • Search: subject:"LIBOR fallback"
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ISDA consultations 2 LIBOR fallback 2 collateral 2 derivative pricing 2 multi-curve framework 2 pay-off measurability 2 value transfer 2 Collateral 1 Derivat 1 Derivative 1 Interest rate derivative 1 Kreditsicherung 1 Option pricing theory 1 Optionspreistheorie 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1
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Free 2
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Article 2
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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English 2
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Henrard, Marc Pierre 2
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Risks 1 Risks : open access journal 1
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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LIBOR fallback and quantitative finance
Henrard, Marc Pierre - In: Risks 7 (2019) 3, pp. 1-15
With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation have been published in November 2018 and a new one...
Persistent link: https://www.econbiz.de/10013200506
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Cover Image
LIBOR fallback and quantitative finance
Henrard, Marc Pierre - In: Risks : open access journal 7 (2019) 3/88, pp. 1-15
With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation have been published in November 2018 and a new one...
Persistent link: https://www.econbiz.de/10012126483
Saved in:
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