CVA wrong way risk multiplier decomposition and efficient CVA curve
Tao Pang, Wei Chen, Le Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Pang, Tao ; Chen, Wei ; Li, Le |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 8.2015, 4, p. 390-404
|
| Subject: | credit value adjustment | CVA | wrong-way-risk | WWR | Theorie | Theory | Kreditrisiko | Credit risk |
| 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/10011531231