Impact of multiple curve dynamics in credit valuation adjustments under collateralization
From MaRDI portal
Publication:4554408
DOI10.1080/14697688.2017.1339905zbMath1400.91579arXiv1507.08779MaRDI QIDQ4554408
Damiano Brigo, Marco Francischello, Andrea Pallavicini, Giacomo Bormetti
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.08779
liquidity risk; basis swaps; counterparty credit risk; interest rate derivatives; funding costs; yield curve dynamics; HJM framework; collateral modeling; multiple curve framework; overnight rates
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk