Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations (Q3100990)
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scientific article; zbMATH DE number 5976533
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| English | Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations |
scientific article; zbMATH DE number 5976533 |
Statements
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (English)
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22 November 2011
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counterparty risk
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arbitrage-free credit valuation adjustment
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interest rate swaps
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interest rate derivatives
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credit valuation adjustment
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bilateral risk
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credit spread volatility
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default correlation
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stochastic intensity
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short rate models
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copula functions
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wrong way risk
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0.8590440154075623
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0.8356499075889587
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0.8214033246040344
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0.8210911154747009
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0.8160099387168884
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