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Impact of multiple curve dynamics in credit valuation adjustments under collateralization - MaRDI portal

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Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408)

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scientific article; zbMATH DE number 7390930
Language Label Description Also known as
English
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
scientific article; zbMATH DE number 7390930

    Statements

    title
    Impact of multiple curve dynamics in credit valuation adjustments under collateralization (English)
    0 references
    author
    Damiano Brigo
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    Marco Francischello
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    Andrea Pallavicini
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    Giacomo Bormetti
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    publication date
    14 November 2018
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    3 September 2021
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    zbMATH Keywords
    yield curve dynamics
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    multiple curve framework
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    HJM framework
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    interest rate derivatives
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    basis swaps
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    counterparty credit risk
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    liquidity risk
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    funding costs
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    collateral modeling
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    overnight rates
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    Recommended article

    Identifiers

    zbMATH Open document ID
    1400.91579
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    1469.91058
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    Mathematics Subject Classification ID
    91G20
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    91G40
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    91G30
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    zbMATH DE Number
    6979445
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    7390930
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    OpenAlex ID
    W3124337315
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    arXiv ID
    1507.08779
    0 references
     
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