PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
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Publication:5299993
DOI10.1142/S0219024913500076zbMath1266.91114MaRDI QIDQ5299993
Damiano Brigo, Agostino Capponi, Andrea Pallavicini, Vasileios Papatheodorou
Publication date: 24 June 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
collateral; default correlation; counterparty risk; credit valuation adjustment; gap risk; wrong-way risk; credit-spread volatility; margining procedure
91G40: Credit risk