PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993): Difference between revisions
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| Property / cites work: Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model / rank | |||
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| Property / cites work: COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION / rank | |||
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| Property / cites work: AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL / rank | |||
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| Property / cites work: ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS / rank | |||
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| Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank | |||
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Latest revision as of 14:19, 6 July 2024
scientific article; zbMATH DE number 6180165
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK |
scientific article; zbMATH DE number 6180165 |
Statements
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (English)
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24 June 2013
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counterparty risk
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credit valuation adjustment
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collateral
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margining procedure
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credit-spread volatility
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default correlation
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wrong-way risk
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gap risk
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