Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach (Q6078122): Difference between revisions
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Revision as of 00:16, 3 August 2024
scientific article; zbMATH DE number 7742658
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach |
scientific article; zbMATH DE number 7742658 |
Statements
Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach (English)
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27 September 2023
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roll-over risk
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multi-curve interest rate term structure
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risk-free rates
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OIS
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IBOR
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LIBOR transition
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interest rate benchmark reform
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basis swaps
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affine term structure models
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calibration and estimation
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