Interest Rates and The Credit Crunch: New Formulas and Market Models

127 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “…multi-curve interest-rate models, see 144 Counterparty Risk and Funding: A Tale of Two Puzzles e.g. Kijima, Tanaka, and Wong (2009), Kenyon (2010), Henrard (2007, 2010), Bianchetti (2010), Mercurio (2010a, 2010b), Fujii, Shimada, and Takahashi (2011, 2011a), Moreni and Pallavicini (2013a)).”
LIBOR Market Models with Stochastic Basis (2010, background): “See Mercurio (2009, 2010) or Appendix D. 17 where, see (4), Sa,b,c,d(t) = ∑b k=a+1 τ x kPD(t, T x k )L x k(t)∑d j=c+1 τ S j PD(t, T S j ) .”
The Term Structure of Interbank Risk (2012, unknown): “…Reserve banks, which include US depository institutions, US Several papers including Bianchetti (2009), Fujii, Shimada, and Takahashi (2009), Henrard (2009), and Mercurio (2009, 2010) have developed pricing models for interest rate derivatives that take the stochastic IRS-OIS spread into account.”