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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Credit derivatives
Choudhry, Moorad - In: The professional risk managers' guide to financial …, (pp. 157-200). 2008
Persistent link: https://www.econbiz.de/10003677872
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Interest-rate swaps and swaptions
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - In: The handbook of fixed income securities, (pp. 1249-1281). 2005
Persistent link: https://www.econbiz.de/10003055314
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Credit derivatives primer
Fabozzi, Frank J.; Choudhry, Moorad; Anson, Mark J. P.; … - In: The handbook of European structured financial products, (pp. 57-76). 2004
Persistent link: https://www.econbiz.de/10002010526
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Banks and derivatives
Gorton, Gary; Rosen, Richard Joseph - 1995
Persistent link: https://www.econbiz.de/10000905338
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Banks and derivatives
Gorton, Gary; Rosen, Richard Joseph - 1995
Persistent link: https://www.econbiz.de/10000918024
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Banks and derivatives
Gorton, Gary - 1995
Persistent link: https://www.econbiz.de/10000910082
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Inflation-Adjusted Bonds, Swaps, and Derivatives
Jarrow, Robert A.; Yildirim, Yildiray - 2022
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10013293658
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Banks and Derivatives
Gorton, Gary - 1995
interest-rate sensitivities of interest rate swap positions of U.S. commercial banks to empirically address the question of … whether swap contracts have increased or decreased systematic risk in the U.S. banking system. We find that the banking system … as a whole faces little net interest-rate risk from swap portfolios …
Persistent link: https://www.econbiz.de/10012473787
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Inflation-Adjusted Bonds, Swaps and Derivatives
Jarrow, Robert A.; Yildirim, Yildiray - 2023
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10014355578