Counterparty risk pricing: impact of closeout and first-to-default times (Q4649502)
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scientific article; zbMATH DE number 6109789
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| English | Counterparty risk pricing: impact of closeout and first-to-default times |
scientific article; zbMATH DE number 6109789 |
Statements
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (English)
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22 November 2012
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credit valuation adjustment
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unilateral CVA
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bilateral CVA
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simplified bilateral CVA
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debit valuation adjustment
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closeout
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equity forward contract
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zero coupon bond
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bivariate exponential distributions
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Gumbel bivariate exponential distributions
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0.8214033246040344
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0.8179855346679688
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0.8164277672767639
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0.7974076271057129
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0.7963716387748718
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