The implications of tail dependency measures for counterparty credit risk pricing
Year of publication: |
[2020]
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Authors: | Arismendi-Zambrano, J. C. ; Belitsky, Vladimir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert |
Publisher: |
Maynooth : Maynooth University, National University of Ireland, Department of Economics, Finance & Accounting |
Subject: | Credit risk | Counterparty Credit Risk | Credit Value Adjustment | Dependency of credit riskcomponents | Pricing swaps | Kreditrisiko | Theorie | Theory | Derivat | Derivative | Risikomanagement | Risk management | Swap | Kreditderivat | Credit derivative |
Extent: | 1 Online-Ressource (52 Seiten) Illustrationen |
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Series: | Working papers / Department of Economics, Finance and Accounting, NUI Maynooth. - Maynooth : [Verlag nicht ermittelbar], ZDB-ID 2217362-6. - Vol. N306 (20) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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