Valuation and hedging of CDS counterparty exposure in a Markov copula model (Q5389101)
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scientific article; zbMATH DE number 6027855
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| 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)
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24 April 2012
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counterparty credit risk
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CDS
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CVA
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wrong-way risk
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dynamic hedging
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0.8491671681404114
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0.8368897438049316
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0.8363770842552185
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0.8350447416305542
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0.8256904482841492
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