A framework for collateral risk control determination:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Frankfurt am Main
Europ. Central Bank
2003
|
| Series: | Working paper series / European Central Bank
209 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturangaben S. 27 - 30 |
| Physical Description: | 47 S. |
Staff View
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Record in the Search Index
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| 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 |
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| 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 |
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