Fernando Gonzales - Academia.edu (original) (raw)
Uploads
Papers by Fernando Gonzales
SSRN Electronic Journal, 2003
Non-technical summary 1 Introduction 2 The setup 3 Single collateral model 4 Extensions for reali... more Non-technical summary 1 Introduction 2 The setup 3 Single collateral model 4 Extensions for realistic implementation 4.1 Introduction of time to capture and liquidity risk 4.2 Examples 4.3 Further extensions 4.3.1 Other instruments as collateral: equity 4.3.2 Poisson process for default of the counterparty 4.3.3 Introduction of non-zero trigger level 4.4 Alternative interest rate model 5 Conclusions References 6 Appendices 6.1 Appendix 1: Proof of proposition 1 6.2 Appendix 2: Proof of proposition 2 6.3 Appendix 3: Proof of proposition 3 6.4 Appendix 4: Exogenous liquidity risk European Central Bank working paper series
Cadernos de Formação RBCE, 2010
SSRN Electronic Journal, 2003
Non-technical summary 1 Introduction 2 The setup 3 Single collateral model 4 Extensions for reali... more Non-technical summary 1 Introduction 2 The setup 3 Single collateral model 4 Extensions for realistic implementation 4.1 Introduction of time to capture and liquidity risk 4.2 Examples 4.3 Further extensions 4.3.1 Other instruments as collateral: equity 4.3.2 Poisson process for default of the counterparty 4.3.3 Introduction of non-zero trigger level 4.4 Alternative interest rate model 5 Conclusions References 6 Appendices 6.1 Appendix 1: Proof of proposition 1 6.2 Appendix 2: Proof of proposition 2 6.3 Appendix 3: Proof of proposition 3 6.4 Appendix 4: Exogenous liquidity risk European Central Bank working paper series
Cadernos de Formação RBCE, 2010