Wrong way risk corrections to CVA in CIR reduced-form models (Q6060556)
From MaRDI portal
scientific article; zbMATH DE number 7760922
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Wrong way risk corrections to CVA in CIR reduced-form models |
scientific article; zbMATH DE number 7760922 |
Statements
Wrong way risk corrections to CVA in CIR reduced-form models (English)
0 references
3 November 2023
0 references
credit value adjustment
0 references
vulnerable options
0 references
counterparty credit risk
0 references
wrong way risk
0 references
0 references
0 references
0 references
