Wrong-way risk of interest rate instruments
Ramzi Ben-Abdallah, Michèle Breton and Oussama Marzouk
| Year of publication: |
2019
|
|---|---|
| Authors: | Ben-Abdallah, Ramzi ; Breton, Michèle ; Marzouk, Oussama |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 15.2019, 2, p. 21-44
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| Subject: | counterparty credit risk | wrong-way risk (WWR) | gap risk | interest rate volatility | dependence | interest rate derivatives | Zins | Interest rate | Kreditrisiko | Credit risk | Zinsderivat | Interest rate derivative | Derivat | Derivative | Risiko | Risk | Volatilität | Volatility | Theorie | Theory | Risikomanagement | Risk management | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2018.248 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012100575