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An application of short rate modelling involving roll-over risk to caplet pricing
The concept of roll-over risk encapsulates the risk that a bank sitting on an interbank panel may be unable to borrow at the interbank overnight reference rate at some point in the future. Roll-over risk is comprised of two separate risks: the risk that the bank may deteriorate in credit quality rel...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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