Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408)
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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)
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14 November 2018
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3 September 2021
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yield curve dynamics
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multiple curve framework
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HJM framework
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interest rate derivatives
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basis swaps
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counterparty credit risk
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liquidity risk
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funding costs
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collateral modeling
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overnight rates
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