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Homeen-gbA model for the valuation of assets with liquidity riskThis paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is discussed.
https://www.risk.net/journal-of-risk/5364616/a-model-for-the-valuation-of-assets-with-liquidity-risk
https://www.risk.net/journal-of-risk/5364616/a-model-for-the-valuation-of-assets-with-liquidity-risk
Tue, 05 Dec 2017 17:05:48 +0000