A framework for collateral risk control determination:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Europ. Central Bank
2003
|
| Schriftenreihe: | Working paper series / European Central Bank
209 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben S. 27 - 30 |
| Beschreibung: | 47 S. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV016882066 | ||
| 003 | DE-604 | ||
| 005 | 20030731 | ||
| 007 | t | ||
| 008 | 030305s2003 gw |||| 00||| eng d | ||
| 016 | 7 | |a 966397037 |2 DE-101 | |
| 035 | |a (OCoLC)52323012 | ||
| 035 | |a (DE-599)BVBBV016882066 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-12 |a DE-83 | ||
| 050 | 0 | |a HG930.5 | |
| 245 | 1 | 0 | |a A framework for collateral risk control determination |c by Didier Cossin ... |
| 264 | 1 | |a Frankfurt am Main |b Europ. Central Bank |c 2003 | |
| 300 | |a 47 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Working paper series / European Central Bank |v 209 | |
| 500 | |a Literaturangaben S. 27 - 30 | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Risk management |z Europe |x Econometric models | |
| 651 | 4 | |a Europa | |
| 700 | 1 | |a Cossin, Didier |e Sonstige |4 oth | |
| 810 | 2 | |a European Central Bank |t Working paper series |v 209 |w (DE-604)BV012681744 |9 209 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010241666&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-010241666 | |
Datensatz im Suchindex
| _version_ | 1807503991117971456 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I
INTRODUCTION
7
2
THE
SET-UP
9
3
SINGLE
COLLATERAL
MODEL
1
0
4
EXTENSIONS
FOR
REALISTIC
IMPLEMENTATION
1
8
4.
1
INTRODUCTION
OF
TIME
TO
CAPTURE
AND
LIQUIDITY RISK
18
4.2
EXAMPLES
20
4.3
FURTHER
EXTENSIONS
YY
2
1
4.3.
1
OTHER
INSTRUMENTS
AS
COLLATERAL:
EQUITY
2
1
4.3.2
POISSON
PROCESS
FOR
DEFAULT
OF
THE
COUNTERPARTY
22
4.3.3
INTRODUCTION
OF
NON-ZERO
TRIGGER
LEVEL
23
4.4
ALTERNATIVE
INTEREST
RATE
MODEL
25
5
CONCLUSIONS
27
REFERENCES
27
6
APPENDICES
3
1
6.
1
APPENDIX
I
:
PROOF
OF
PROPOSITION
I
3
1
6.2
APPENDIX
2:
PROOF
OF
PROPOSITION
2
33
6.3
APPENDIX
3:
PROOF
OF
PROPOSITION
3
35
6.4
APPENDIX
4:
EXOGENOUS
LIQUIDITY
RISK
36
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
42 |
| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV016882066 |
| callnumber-first | H - Social Science |
| callnumber-label | HG930 |
| callnumber-raw | HG930.5 |
| callnumber-search | HG930.5 |
| callnumber-sort | HG 3930.5 |
| callnumber-subject | HG - Finance |
| ctrlnum | (OCoLC)52323012 (DE-599)BVBBV016882066 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 cb4500</leader><controlfield tag="001">BV016882066</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20030731</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">030305s2003 gw |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">966397037</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)52323012</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV016882066</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-83</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG930.5</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A framework for collateral risk control determination</subfield><subfield code="c">by Didier Cossin ...</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt am Main</subfield><subfield code="b">Europ. Central Bank</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">47 S.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Working paper series / European Central Bank</subfield><subfield code="v">209</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturangaben S. 27 - 30</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield><subfield code="z">Europe</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="651" ind1=" " ind2="4"><subfield code="a">Europa</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Cossin, Didier</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">European Central Bank</subfield><subfield code="t">Working paper series</subfield><subfield code="v">209</subfield><subfield code="w">(DE-604)BV012681744</subfield><subfield code="9">209</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010241666&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-010241666</subfield></datafield></record></collection> |
| geographic | Europa |
| geographic_facet | Europa |
| id | DE-604.BV016882066 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-16T01:02:12Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010241666 |
| oclc_num | 52323012 |
| open_access_boolean | |
| owner | DE-12 DE-83 |
| owner_facet | DE-12 DE-83 |
| physical | 47 S. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Europ. Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | A framework for collateral risk control determination by Didier Cossin ... Frankfurt am Main Europ. Central Bank 2003 47 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 209 Literaturangaben S. 27 - 30 Ökonometrisches Modell Risk management Europe Econometric models Europa Cossin, Didier Sonstige oth European Central Bank Working paper series 209 (DE-604)BV012681744 209 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010241666&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | A framework for collateral risk control determination Ökonometrisches Modell Risk management Europe Econometric models |
| title | A framework for collateral risk control determination |
| title_auth | A framework for collateral risk control determination |
| title_exact_search | A framework for collateral risk control determination |
| title_full | A framework for collateral risk control determination by Didier Cossin ... |
| title_fullStr | A framework for collateral risk control determination by Didier Cossin ... |
| title_full_unstemmed | A framework for collateral risk control determination by Didier Cossin ... |
| title_short | A framework for collateral risk control determination |
| title_sort | a framework for collateral risk control determination |
| topic | Ökonometrisches Modell Risk management Europe Econometric models |
| topic_facet | Ökonometrisches Modell Risk management Europe Econometric models Europa |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010241666&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
| work_keys_str_mv | AT cossindidier aframeworkforcollateralriskcontroldetermination |