Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
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Published:2021
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Author:
Bianchetti Marco,Scaringi Marco,Silotto Lorenzo
Reference43 articles.
1. Smooth Yield Curves Bootstrapping For Forward Libor Rate Estimation and Pricing Interest Rate Derivatives;M Ferdinando;Modelling Interest Rates: Latest Advances for Derivatives Pricing,2009