Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Yifan Yang; Frank J. Fabozzi; Michele Leonardo Bianchi
| Year of publication: |
2015
|
|---|---|
| Authors: | Yang, Yifan ; Fabozzi, Frank J. ; Bianchi, Michele Leonardo |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 2.2015, 1, p. 1-31
|
| Subject: | Wrong-way risk | credit value adjustment | debt value adjustment | counterparty credit risk | Kreditrisiko | Credit risk | Theorie | Theory | Risikomanagement | Risk management | Kreditsicherung | Collateral | Risikomaß | Risk measure | Derivat | Derivative | Risiko | Risk |
| 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://www.econbiz.de/10010528392