Capturing Credit Correlation Between Counterparty and Underlying

This paper presents a semi-analytical approach for calculating the counterparty exposure of credit derivative contracts conditional on the default of the counterparty, based on a Merton-type asset return model. The approach provides an efficient algorithm for implementing large-scale exposure calculations for portfolios of credit derivatives

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Year of publication:	2011
Authors:	Buckley, Kirk B. ; Wilkens, Sascha ; Chorniy, Vladimir
Publisher:	[S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Korrelation \| Correlation \| Derivat \| Derivative
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Risk, Vol. 24, pp. 70-74, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 9, 2011 erstellt Volltext nicht verfügbar
Classification:	G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014196098