Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
Patrick Büchel, Michael Kratochwil, Daniel Rösch
| Year of publication: |
2020
|
|---|---|
| Authors: | Büchel, Patrick ; Kratochwil, Michael ; Rösch, Daniel |
| Subject: | Counterparty credit risk | Credit valuation adjustments (CVA) | Credit exposure | Standardized approach for measuring counterparty credit risk exposures (SA-CCR) | Kreditrisiko | Credit risk | Derivat | Derivative | Messung | Measurement | Theorie | Theory | Basler Akkord | Basel Accord | Kreditderivat | Credit derivative | OTC-Handel | OTC market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-019-09165-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303233