A subordinated CIR intensity model with application to wrong-way risk CVA (Q4555855)
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scientific article; zbMATH DE number 6983645
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| English | A subordinated CIR intensity model with application to wrong-way risk CVA |
scientific article; zbMATH DE number 6983645 |
Statements
A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (English)
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23 November 2018
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default intensity
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time-changed diffusion
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Lévy subordinator
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credit value adjustment (CVA)
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wrong-way risk (WWR)
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adaptive control variate
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0.8580676913261414
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0.8354425430297852
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0.8337401747703552
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0.8015848398208618
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