Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408): Difference between revisions
From MaRDI portal
EloiFerrer (talk | contribs) Changed label, description and/or aliases in en, and other parts |
EloiFerrer (talk | contribs) Merged Item from Q4957229 |
||||||||||||||
description / en | description / en | ||||||||||||||
scientific article; zbMATH DE number 7390930 | |||||||||||||||
Property / zbMATH Open document ID | |||||||||||||||
Property / zbMATH Open document ID: 1469.91058 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / publication date | |||||||||||||||
3 September 2021
| |||||||||||||||
Property / publication date: 3 September 2021 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 91G30 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH DE Number | |||||||||||||||
Property / zbMATH DE Number: 7390930 / rank | |||||||||||||||
Normal rank |
Latest revision as of 10:18, 6 May 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
14 November 2018
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