BEHAVIORAL VALUE ADJUSTMENTS

DOI10.1142/S0219024917500509zbMath1395.91432MaRDI QIDQ4602492

Riccardo Cogo, Matteo Bissiri

Publication date: 11 January 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

BIScredit riskmortgageprepaymentCVAMBSembedded optionXVARMBSOASbehavioral riskIRRBBKVA

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

BEHAVIORAL VALUE ADJUSTMENTS, PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO

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