CUTTING EDGE - Derivatives pricing - Capturing credit correlation between counterparty and underlying - The authors present a semi-analytical approach for calculating the counterparty exposure of credit derivatives 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 ...
| Year of publication: |
2011
|
|---|---|
| Authors: | Buckley, Kirk ; Wilkens, Sascha ; Chorniy, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 4, p. 66-71
|