Rollover risk and credit risk under time-varying margin

DOI10.1080/14697688.2016.1203071zbMath1402.91848OpenAlexW2480555477MaRDI QIDQ4555090

Eva Lütkebohmert, Xue-Zhong He, Yajun Xiao

Publication date: 19 November 2018

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

Full work available at URL: http://hdl.handle.net/10453/124426

zbMATH Keywords

margin requirementsstructural credit risk modelsrollover riskfunding liquidity

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Credit risk contagion coupling with sentiment contagion ⋮ Dynamic Leveraging–Deleveraging Games

Cites Work

• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• An option pricing formula for the GARCH diffusion model
• A Multiperiod Bank Run Model for Liquidity Risk*
• Unnamed Item

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