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The term structure of interbank risk

Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733

Persistent link: https://www.econbiz.de/10010205349

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020

Persistent link: https://www.econbiz.de/10012939794

LIBOR Floors in Leveraged Loans

Arscott, Robert - 2018

The use of LIBOR floors in U.S. leveraged (syndicated) loans is examined. These options, rare prior to 2008, provide a … cancellation and upfront fees. Finally, I document that LIBOR floors represent a significant component of loan pricing …

Persistent link: https://www.econbiz.de/10012932024

Rating based Lévy Libor model

Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626

Persistent link: https://www.econbiz.de/10010187684

Interbank interest rates : funding liquidity risk and XIBOR basis spreads

Gallitschke, Janek; Seifried, Stefanie; Seifried, Frank … - In: Journal of banking & finance 78 (2017), pp. 142-152

Persistent link: https://www.econbiz.de/10011815126

Implications of implicit credit spread volatilities on interest rate modelling

Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718

Persistent link: https://www.econbiz.de/10011794020

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

Interest rate swap credit valuation adjustment

Černý, Jakub; Witzany, Jiří - 2014

needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …

Persistent link: https://www.econbiz.de/10010358352

A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch

Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244

Persistent link: https://www.econbiz.de/10011435817

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