Liquidity risk in derivatives valuation: an improved credit proxy method

DOI10.1080/14697688.2017.1315166zbMath1400.91610OpenAlexW2529587361MaRDI QIDQ4554432

Drona Kandhai, Sumit Sourabh, Markus Hofer

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1315166

zbMATH Keywords

value at risk (VaR)credit default swapsliquidity risk

Mathematics Subject Classification ID

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

Cites Work

• Implied recovery
• EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

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