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BEHAVIORAL VALUE ADJUSTMENTS - MaRDI portal

BEHAVIORAL VALUE ADJUSTMENTS (Q4602492)

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scientific article; zbMATH DE number 6824295
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BEHAVIORAL VALUE ADJUSTMENTS
scientific article; zbMATH DE number 6824295

    Statements

    title
    BEHAVIORAL VALUE ADJUSTMENTS (English)
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    author
    Matteo Bissiri
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    Riccardo Cogo
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    publication date
    11 January 2018
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    zbMATH Keywords
    behavioral risk
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    prepayment
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    mortgage
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    MBS
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    RMBS
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    XVA
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    CVA
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    KVA
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    credit risk
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    embedded option
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    BIS
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    OAS
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    IRRBB
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    Identifiers

    zbMATH DE Number
    6824295
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