Liquidity risk in derivatives valuation: an improved credit proxy method (Q4554432)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6979472
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Liquidity risk in derivatives valuation: an improved credit proxy method |
scientific article; zbMATH DE number 6979472 |
Statements
Liquidity risk in derivatives valuation: an improved credit proxy method (English)
0 references
14 November 2018
0 references
credit default swaps
0 references
liquidity risk
0 references
value at risk (VaR)
0 references
0.7361977696418762
0 references
0.7287326455116272
0 references
0.716163694858551
0 references
0.7147234082221985
0 references
0.7147234082221985
0 references
