Nicole Seiffert

affiliation not provided to SSRN

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Cross Currency Valuation and Hedging in the Multiple Curve Framework

Number of pages: 42 Posted: 25 Feb 2020 Last Revised: 16 Mar 2021
Alessandro Gnoatto and Nicole Seiffert
University of Verona - Department of Economics and affiliation not provided to SSRN
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Abstract:

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FX, cross-currency basis, multiple curves, FVA, CollVA, Basel III, Collateral