Cheapest-to-deliver collateral : a common factor approach
Year of publication: |
2022
|
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Authors: | Wolf, Felix Lukas ; Grzelak, Lech A. ; Deelstra, Griselda |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 4, p. 707-723
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Subject: | Collateral choice option | Conditional independence | CSA | Currency spreads | Factor model | Kreditsicherung | Collateral | Faktorenanalyse | Factor analysis | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | CAPM | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory |
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