ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (Q5411396): Difference between revisions
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Revision as of 20:32, 5 March 2024
scientific article; zbMATH DE number 6287495
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS |
scientific article; zbMATH DE number 6287495 |
Statements
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (English)
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23 April 2014
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counterparty risk
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CVA
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bilateral CVA
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arbitrage-free credit valuation adjustment
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credit default swaps
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credit spread volatility
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default correlation
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contagion
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stochastic intensity
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collateral margining
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netting
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rehypotecation
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wrong way risk
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