The Term Structure of Interbank Risk

By Damir Filipovi'c, Anders B. Trolle. 2012

191 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/fa22f0d7c233825401f3d03e949bad732cdda97f

How researchers see this paper

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

In Finance

1. St'ephane Cr'epey
2. Damiano Brigo
3. Jens H. E. Christensen
4. Glenn D. Rudebusch
5. Tomasz R. Bielecki
6. Agostino Capponi
7. Andrea Pallavicini
8. J. Wu

Citations in the corpus

• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “On related topics (Filipović and Trolle 2013), conducted empirical studies on both euro and USD markets and obtained very similar results in both cases.”
• Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “In this section, to shed light on the efficiency of the standard extended Kalman filter in estimating shadow-rate models, we re-estimate all three shadowrate models using the unscented Kalman filter as described in Filipović and Trolle (2013). Table 4 reports the summary statistics of the fitted err”