Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526)
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scientific article; zbMATH DE number 6869356
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| English | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures |
scientific article; zbMATH DE number 6869356 |
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Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (English)
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17 May 2018
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counterparty risk
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credit valuation adjustment
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wrong-way risk
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drift adjustment
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0.8889009952545166
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0.8767905831336975
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0.8354425430297852
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0.8192495107650757
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0.8138282299041748
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