Cheapest-to-deliver collateral: a common factor approach
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DOI: 10.1080/14697688.2021.1990375
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- Felix L. Wolf & Lech A. Grzelak & Griselda Deelstra, 2021. "Cheapest-to-Deliver Collateral: A Common Factor Approach," Papers 2103.06107, arXiv.org, revised Sep 2021.
References listed on IDEAS
- J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
- J.A. Bikker & Tobias M. Vervliet, 2017.
"Bank Profitability and Risk-Taking under Low Interest Rates,"
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- Jacob Bikker & Tobias Vervliet, 2017. "Bank profitability and risk-taking under low interest rates," DNB Working Papers 560, Netherlands Central Bank, Research Department.
- Charles E. Clark, 1961. "The Greatest of a Finite Set of Random Variables," Operations Research, INFORMS, vol. 9(2), pages 145-162, April.
- Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.
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Cited by:
- Griselda Deelstra & Lech A. Grzelak & Felix L. Wolf, 2022. "Sensitivities and Hedging of the Collateral Choice Option," Papers 2207.10373, arXiv.org, revised Aug 2022.
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