Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe - In: Review of Derivatives Research 17 (2014) 3, pp. 261-286
overnight index rates on the interbank market. Using time varying haircuts, we provide an intuitive way to derive the basic …) discount curves. We also show how to deal with partial collateralization, involving haircuts, asymmetric CSA, counterparty risk …