Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Damiano Brigo; Agostino Capponi; Andrea Pallavicini
| Year of publication: |
2014
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|---|---|
| Authors: | Brigo, Damiano ; Capponi, Agostino ; Pallavicini, Andrea |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 1, p. 125-146
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| Subject: | counterparty risk | CVA | bilateral CVA | arbitrage-free credit valuation adjustment | credit default swaps | credit spread volatility | default correlation | contagion | stochastic intensity | collateral margining | netting | rehypotecation | wrong way risk | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Kreditsicherung | Collateral | Zinsstruktur | Yield curve | Finanzkrise | Financial crisis | Risikoprämie | Risk premium | Insolvenz | Insolvency | Kreditversicherung | Credit insurance | Swap | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010256178