A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY (Q2841329)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY |
scientific article |
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A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY (English)
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24 July 2013
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counterparty credit risk
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wrong-way risk
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stochastic recovery
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credit valuation adjustment
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credit default swaps
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Gaussian copula
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