Revising SA-CCR
Risk Management
2019-04-10 v2 Pricing of Securities
Abstract
From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model
Cite
@article{arxiv.1902.08405,
title = {Revising SA-CCR},
author = {Mourad Berrahoui and Othmane Islah and Chris Kenyon},
journal= {arXiv preprint arXiv:1902.08405},
year = {2019}
}
Comments
20 pages, 13 tables
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