Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo (Q5169724)
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scientific article; zbMATH DE number 6316407
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| English | Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo |
scientific article; zbMATH DE number 6316407 |
Statements
11 July 2014
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counterparty risk
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funding
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credit risk
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BSDE modeling
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copula
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credit valuation adjustment (CVA)
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0.8626959323883057
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0.8228055238723755
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0.8030988574028015
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0.7991130948066711
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0.7989873886108398
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