A copula approach to credit valuation adjustment for swaps under wrong-way risk
Jakub C̆erný and Jir̆í Witzany
| Year of publication: |
March 2018
|
|---|---|
| Authors: | C̆erný, Jakub ; Witzany, Jir̆í |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 14.2018, 1, p. 31-43
|
| Subject: | counterparty credit risk | credit valuation adjustment (CVA) | copulas | wrong-way risk (WWR) | interest rate swap (IRS) | Kreditrisiko | Credit risk | Swap | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Derivat | Derivative | Zinsderivat | Interest rate derivative | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2017.234 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011885459