Liquidity risk in derivatives valuation: an improved credit proxy method (Q4554432)
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scientific article; zbMATH DE number 6979472
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| English | Liquidity risk in derivatives valuation: an improved credit proxy method |
scientific article; zbMATH DE number 6979472 |
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Liquidity risk in derivatives valuation: an improved credit proxy method (English)
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14 November 2018
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credit default swaps
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liquidity risk
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value at risk (VaR)
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0.7361977696418762
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0.7287326455116272
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0.716163694858551
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0.7147234082221985
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0.7147234082221985
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