COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (Q4649502): Difference between revisions
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| Property / cites work: Credit risk: Modelling, valuation and hedging / 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: ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS / rank | |||
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| Property / cites work: Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling / rank | |||
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| Property / cites work: Inference procedures for a bivariate exponential model of Gumbel based on life test of component and system / rank | |||
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Revision as of 21:37, 5 July 2024
scientific article; zbMATH DE number 6109789
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES |
scientific article; zbMATH DE number 6109789 |
Statements
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (English)
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22 November 2012
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credit valuation adjustment
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unilateral CVA
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bilateral CVA
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simplified bilateral CVA
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debit valuation adjustment
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closeout
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equity forward contract
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zero coupon bond
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bivariate exponential distributions
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Gumbel bivariate exponential distributions
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