DOI10.3233/RDA-2012-0072zbMath1263.91050MaRDI QIDQ4921215
Yin Xu, Jin Liang
Publication date: 23 May 2013 Published in: Risk and Decision Analysis (Search for Journal in Brave) Full work available at URL: https://doi.org/10.3233/rda-2012-0072
zbMATH Keywords
counterparty risk; credit value adjustment; affine jump diffusion process; intensity-based approach
Mathematics Subject Classification ID
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G40: Credit risk
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