COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (Q3655554): Difference between revisions
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Revision as of 13:09, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION |
scientific article |
Statements
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (English)
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8 January 2010
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counterparty risk
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credit valuation adjustment
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credit default swaps
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contingent credit default swaps
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credit spread volatility
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default correlation
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stochastic intensity
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copula functions
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wrong way risk
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