Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4957229): Difference between revisions
From MaRDI portal
Item:Q4957229
Removed claim: author (P16): Item:Q2292058 |
Changed an Item |
||
| Property / author | |||
| Property / author: Giacomo Bormetti / rank | |||
Normal rank | |||
Revision as of 13:04, 1 March 2024
scientific article; zbMATH DE number 7390930
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Impact of multiple curve dynamics in credit valuation adjustments under collateralization |
scientific article; zbMATH DE number 7390930 |
Statements
Impact of multiple curve dynamics in credit valuation adjustments under collateralization (English)
0 references
3 September 2021
0 references
yield curve dynamics
0 references
multiple curve framework
0 references
HJM framework
0 references
interest rate derivatives
0 references
basis swaps
0 references
counterparty credit risk
0 references
liquidity risk
0 references
funding costs
0 references
collateral modeling
0 references
overnight rates
0 references
