English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

The market practice of extrapolating different term structures from differentinstruments lacks a rigorous justification in terms of cash flows structure andmarket observables. In this paper, we integrate our previous consistent theoryfor pricing under credit, collateral and funding risks into term structuremodelling, integrating the origination of different term structures with sucheffects. Under a number of assumptions on collateralization, wrong-way risk,gap risk, credit valuation adjustments and funding effects, including thetreasury operational model, and via an immersion hypothesis, we are able toderive a synthetic master equation for the multiple term structure dynamicsthat integrates multiple curves with credit/funding adjustments.

Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs