Cheapest-to-deliver collateral: a common factor approach (Q5079362)
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scientific article; zbMATH DE number 7532608
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| English | Cheapest-to-deliver collateral: a common factor approach |
scientific article; zbMATH DE number 7532608 |
Statements
Cheapest-to-deliver collateral: a common factor approach (English)
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27 May 2022
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collateral choice option
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currency spreads
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conditional independence
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factor model
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CSA
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0.8601987361907959
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0.8521934151649475
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0.7244009971618652
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0.7175242304801941
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