Collateralized CVA valuation with rating triggers and credit migrations
Tomasz R. Bielecki, Igor Cialenco and Ismail Iyigunler
| Year of publication: |
2013
|
|---|---|
| Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Iyigunler, Ismail |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 2, p. 1-32
|
| Subject: | Counterparty risk | credit valuation adjustment | CVA | OTC contracts | break clauses | additional termination events | rating triggers | dynamic collateralization | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Theorie | Theory | Derivat | Derivative | Kreditwürdigkeit | Credit rating | Kreditderivat | Credit derivative | Kreditgeschäft | Bank lending |
| 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/10009748715