Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122194206> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W3122194206 abstract "We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key market rates underlying the multiple interest rate curves that characterize current interest rate markets. A key point is that spot Libor rates are to be treated as market primitives rather than being defined by no-arbitrage relationships. We formulate a consistent realistic dynamics for the different rates emerging from our analysis and compare the resulting model performances to simpler models used in the industry. We include the often neglected margin period of risk, showing how this feature may increase the impact of different rates dynamics on valuation. We point out limitations of multiple curve models with deterministic basis considering valuation of particularly sensitive products such as basis swaps. We stress that a proper wrong way risk analysis for such products requires a model with a stochastic basis and we show numerical results confirming this fact." @default.
- W3122194206 created "2021-02-01" @default.
- W3122194206 creator A5005254246 @default.
- W3122194206 creator A5011626782 @default.
- W3122194206 creator A5041766874 @default.
- W3122194206 creator A5086540973 @default.
- W3122194206 date "2015-09-01" @default.
- W3122194206 modified "2023-10-02" @default.
- W3122194206 title "Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization" @default.
- W3122194206 hasPublicationYear "2015" @default.
- W3122194206 type Work @default.
- W3122194206 sameAs 3122194206 @default.
- W3122194206 citedByCount "0" @default.
- W3122194206 crossrefType "posted-content" @default.
- W3122194206 hasAuthorship W3122194206A5005254246 @default.
- W3122194206 hasAuthorship W3122194206A5011626782 @default.
- W3122194206 hasAuthorship W3122194206A5041766874 @default.
- W3122194206 hasAuthorship W3122194206A5086540973 @default.
- W3122194206 hasConcept C10138342 @default.
- W3122194206 hasConcept C106159729 @default.
- W3122194206 hasConcept C108018779 @default.
- W3122194206 hasConcept C149782125 @default.
- W3122194206 hasConcept C153364924 @default.
- W3122194206 hasConcept C160623529 @default.
- W3122194206 hasConcept C162118730 @default.
- W3122194206 hasConcept C162324750 @default.
- W3122194206 hasConcept C175025494 @default.
- W3122194206 hasConcept C176230804 @default.
- W3122194206 hasConcept C178350159 @default.
- W3122194206 hasConcept C186027771 @default.
- W3122194206 hasConcept C19736811 @default.
- W3122194206 hasConcept C2777910564 @default.
- W3122194206 hasConcept C2781223538 @default.
- W3122194206 hasConcept C2781271063 @default.
- W3122194206 hasConcept C556758197 @default.
- W3122194206 hasConcept C86537402 @default.
- W3122194206 hasConcept C99560960 @default.
- W3122194206 hasConceptScore W3122194206C10138342 @default.
- W3122194206 hasConceptScore W3122194206C106159729 @default.
- W3122194206 hasConceptScore W3122194206C108018779 @default.
- W3122194206 hasConceptScore W3122194206C149782125 @default.
- W3122194206 hasConceptScore W3122194206C153364924 @default.
- W3122194206 hasConceptScore W3122194206C160623529 @default.
- W3122194206 hasConceptScore W3122194206C162118730 @default.
- W3122194206 hasConceptScore W3122194206C162324750 @default.
- W3122194206 hasConceptScore W3122194206C175025494 @default.
- W3122194206 hasConceptScore W3122194206C176230804 @default.
- W3122194206 hasConceptScore W3122194206C178350159 @default.
- W3122194206 hasConceptScore W3122194206C186027771 @default.
- W3122194206 hasConceptScore W3122194206C19736811 @default.
- W3122194206 hasConceptScore W3122194206C2777910564 @default.
- W3122194206 hasConceptScore W3122194206C2781223538 @default.
- W3122194206 hasConceptScore W3122194206C2781271063 @default.
- W3122194206 hasConceptScore W3122194206C556758197 @default.
- W3122194206 hasConceptScore W3122194206C86537402 @default.
- W3122194206 hasConceptScore W3122194206C99560960 @default.
- W3122194206 hasLocation W31221942061 @default.
- W3122194206 hasOpenAccess W3122194206 @default.
- W3122194206 hasPrimaryLocation W31221942061 @default.
- W3122194206 hasRelatedWork W1493576145 @default.
- W3122194206 hasRelatedWork W2017333949 @default.
- W3122194206 hasRelatedWork W2047078686 @default.
- W3122194206 hasRelatedWork W2114998078 @default.
- W3122194206 hasRelatedWork W2287578517 @default.
- W3122194206 hasRelatedWork W2340080429 @default.
- W3122194206 hasRelatedWork W2612424453 @default.
- W3122194206 hasRelatedWork W2795743569 @default.
- W3122194206 hasRelatedWork W2950163709 @default.
- W3122194206 hasRelatedWork W2965732766 @default.
- W3122194206 hasRelatedWork W3015414157 @default.
- W3122194206 hasRelatedWork W3044225803 @default.
- W3122194206 hasRelatedWork W3087107280 @default.
- W3122194206 hasRelatedWork W3121414170 @default.
- W3122194206 hasRelatedWork W3121471153 @default.
- W3122194206 hasRelatedWork W3122308027 @default.
- W3122194206 hasRelatedWork W3125608337 @default.
- W3122194206 hasRelatedWork W3146144363 @default.
- W3122194206 hasRelatedWork W3196708366 @default.
- W3122194206 hasRelatedWork W1724980262 @default.
- W3122194206 isParatext "false" @default.
- W3122194206 isRetracted "false" @default.
- W3122194206 magId "3122194206" @default.
- W3122194206 workType "article" @default.