EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS
From MaRDI portal
Publication:2836220
DOI10.1142/S0219024916500424zbMath1396.91793MaRDI QIDQ2836220
Thorsten Schulz, Matthias Scherer
Publication date: 8 December 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (1)
Cites Work
- Extensions and special cases of transportation problem: A survey
- ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
- BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
- Unnamed Item
This page was built for publication: EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS