Approximate value adjustments for European claims (Q2116937)
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scientific article; zbMATH DE number 7493238
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Approximate value adjustments for European claims |
scientific article; zbMATH DE number 7493238 |
Statements
Approximate value adjustments for European claims (English)
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18 March 2022
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pricing
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credit value adjustment
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defaultable claims
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XVA
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affine processes
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0.8145774602890015
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0.7953619956970215
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0.7935879826545715
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0.7898953557014465
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0.7853792309761047
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