Revising SA-CCR
classification
💱 q-fin.RM
q-fin.PR
keywords
sa-ccrappropriatelycashflowdecompositionfactorgaussianmakingmarket
read the original 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
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