Price impacts of imperfect collateralization
Year of publication: |
March 2016
|
---|---|
Authors: | Shiraya, Kenichiro ; Takahashi, Akihiko |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-31
|
Subject: | Credit risk | collateral | CVA | pre-default value | derivatives pricing | Kreditrisiko | Derivat | Derivative | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | CAPM | Unvollkommener Markt | Incomplete market |
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