Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches (Q5419656)
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scientific article; zbMATH DE number 6302705
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| English | Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches |
scientific article; zbMATH DE number 6302705 |
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Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches (English)
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11 June 2014
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counterparty risk
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CVA
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credit derivatives
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CDO
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continuous-time Markov chains
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Monte Carlo simulation
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regression
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0.88167626
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0.8767642
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0.87585944
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0.8696992
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0.86563313
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0.86469066
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0.8622192
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0.85930526
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