Counterparty risk for credit default swaps: impact of spread volatility and default correlation (Q3655554)
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scientific article; zbMATH DE number 5654740
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| English | Counterparty risk for credit default swaps: impact of spread volatility and default correlation |
scientific article; zbMATH DE number 5654740 |
Statements
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (English)
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8 January 2010
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counterparty risk
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credit valuation adjustment
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credit default swaps
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contingent credit default swaps
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credit spread volatility
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default correlation
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stochastic intensity
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copula functions
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wrong way risk
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0.8719107508659363
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0.8400354981422424
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0.8362836837768555
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0.8300172090530396
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0.8260806202888489
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