A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY
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Publication:2841329
DOI10.1142/S0219024913500131zbMath1269.91087MaRDI QIDQ2841329
Publication date: 24 July 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500131
Gaussian copula; credit default swaps; credit valuation adjustment; wrong-way risk; counterparty credit risk; stochastic recovery
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