WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298): Difference between revisions
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scientific article; zbMATH DE number 6813767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS |
scientific article; zbMATH DE number 6813767 |
Statements
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (English)
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29 November 2017
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counterparty credit risk
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wrong-way risk
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intensity models
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