Blar i NTNU Open på forfatter "Sætherø, Anders"
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Backtesting counterparty credit exposure based on the Heath, Jarrow and Morton framework for simulation of interest rates
Sætherø, Anders (Master thesis, 2018)In this thesis a framework for backtesting counterparty credit exposure is developed and implemented. Using the Heath, Jarrow and Morton model for simulation of interest rates, separate models are implemented for risk-neutral ...