Valuation and hedging of CDS counterparty exposure in a Markov copula model (Q5389101)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Valuation and hedging of CDS counterparty exposure in a Markov copula model |
scientific article; zbMATH DE number 6027855
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation and hedging of CDS counterparty exposure in a Markov copula model |
scientific article; zbMATH DE number 6027855 |
Statements
VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (English)
0 references
24 April 2012
0 references
counterparty credit risk
0 references
CDS
0 references
CVA
0 references
wrong-way risk
0 references
dynamic hedging
0 references
0 references
0.8491671681404114
0 references
0.8368897438049316
0 references
0.8363770842552185
0 references
0.8350447416305542
0 references
0.8256904482841492
0 references
