Similar Search Results

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

Collateral Convexity of Libor and FX Forwards (Slides)

McCloud, Paul - 2014

Collateral discounting recognises the value of funding for derivatives, which has gained prominence in recent years as … basis spreads have widened in response to the financial crises. This article considers the impact of collateral volatility … expressions are derived for convexity adjustments and collateral options, in a form that easily integrates into curve building and …

Persistent link: https://www.econbiz.de/10013054566

CDO term structure modelling with Lévy processes and the relation to market models

Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10009562136

Asset pricing under general collateralization

Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23

Persistent link: https://www.econbiz.de/10011777842

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

Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633

Burying Libor

Klingler, Sven; Syrstad, Olav - 2019

We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model in which banks and non-banks can lend to each other, subject to realistic regulatory constraints, we show empirically that tighter ﬁnancial regulation increases interbank...

Persistent link: https://www.econbiz.de/10012214298

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

Life after LIBOR

Klingler, Sven; Syrstad, Olav - In: Journal of financial economics 141 (2021) 2, pp. 783-801

Persistent link: https://www.econbiz.de/10013259828