A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA

DOI10.1142/S0219024918500450zbMath1417.91530arXiv1801.05673OpenAlexW2963968271MaRDI QIDQ4555855

Cheikh Mbaye, Frédéric Vrins

Publication date: 23 November 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.05673

zbMATH Keywords

credit value adjustment (CVA)default intensityLévy subordinatortime-changed diffusionadaptive control variatewrong-way risk (WWR)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

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Cites Work

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