National Bank of Poland
in Total Papers Downloads
in Total Papers Citations
Basel Accord, Capital Ratios, Bank Regulation, Monetary Policy
standing facilities, money market, liquidity management
bank intermediation, central bank operations, standing facilities, central bank crisis measures
default correlation, counterparty risk, reduced form models
joint defaults, collateralized lending, residual credit risk
Monetary policy independence, small open economy, term premium
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Cheyette model, local volatility, swaptions, smile, calibration
File name: SSRN-id3240608.pdf
Bermudan swaptions, local volatility, Cheyette model, model risk, exercise deferral premium
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