Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach (Q6078122): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.3934/fmf.2023009 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.3934/FMF.2023009 / rank | |||
Normal rank | |||
Latest revision as of 18:13, 30 December 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)
0 references
27 September 2023
0 references
roll-over risk
0 references
multi-curve interest rate term structure
0 references
risk-free rates
0 references
OIS
0 references
IBOR
0 references
LIBOR transition
0 references
interest rate benchmark reform
0 references
basis swaps
0 references
affine term structure models
0 references
calibration and estimation
0 references
0 references
