BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (Q4635042)
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scientific article; zbMATH DE number 6859725
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BOUNDING WRONG‐WAY RISK IN CVA CALCULATION |
scientific article; zbMATH DE number 6859725 |
Statements
BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (English)
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13 April 2018
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credit valuation adjustment
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counterparty credit risk
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robustness
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iterative proportional fitting process (IPFP)
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I-projection
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