WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS

DOI10.1142/S0219024917500455zbMath1415.91303OpenAlexW2758035245MaRDI QIDQ4595298

Frédéric Vrins

Publication date: 29 November 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500455

zbMATH Keywords

intensity modelswrong-way riskcounterparty credit risk

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items (3)

A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA ⋮ Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

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