Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Counterparty Risk, Collateral Management, Credit Risk, Economic Capital, Financial Risk and Risk Management, Government Policy and Regulation, Mathematical Methods, OTC Derivatives, Potential Future Exposure, Unexpected Loss
Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate
HJM, Affine Process, Long-Term Yield, Yield Curve, Wishart Process.
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2789610.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
counterparty risk, credit risk, liquidity risk measurement
Counterparty Risk, Collateral Management, Credit Risk, Economic Capital
Term structure, overnight indexed swap, long-term yield, long-term simple rate, long-term swap rate
This page was processed by aws-apollo5 in 0.267 seconds