A multiple-curve HJM model of interbank risk
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Publication:1938982
DOI10.1007/S11579-012-0083-4zbMATH Open1264.91131OpenAlexW1977593205MaRDI QIDQ1938982FDOQ1938982
Authors: Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen 
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-012-0083-4
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Cited In (28)
- A pure-jump mean-reverting short rate model
- A multiple curve Lévy swap market model
- A general HJM framework for multiple yield curve modelling
- Interest rate modeling: post-crisis challenges and approaches
- A Lévy HJM multiple-curve model with application to CVA computation
- An arithmetic pure-jump multi-curve interest rate model
- A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
- Convexity adjustment for constant maturity swaps in a multi-curve framework
- A tractable LIBOR model with default risk
- Multi-curve HJM modelling for risk management
- A multicurve cross-currency LIBOR market model
- The multi-curve potential model
- Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
- Interbank credit risk modeling with self-exciting jump processes
- Multiple yield curve modelling with CBI processes
- Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- Term structure modelling for multiple curves with stochastic discontinuities
- Affine LIBOR models with multiple curves: theory, examples and calibration
- A multiple-curve Lévy forward rate model in a two-price economy
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
- Implications of implicit credit spread volatilities on interest rate modelling
- Counterparty risk and funding: the four wings of the TVA
- Bilateral counterparty risk under funding constraints. II: CVA
- Decomposing LIBOR in transition: evidence from the futures markets
- An algebraic method for pricing financial instruments on post-crisis market
- Minimal variance hedging in multicurve interest rate modeling
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