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1 result for “SA-CCR”

Revising SA-CCRq-fin.RM

Improves SA-CCR model to be more consistent and risk-sensitive.

problem Inconsistent and risk-insensitive SA-CCR model.

method Cashflow decomposition in a 3-Factor Gaussian Market Model.

result Makes SA-CCR self-consistent and risk-sensitive.

SA-CCR risk sensitivity cashflow decomposition Gaussian market model

2019-02-22abs ↗pdf ↗