Derivatives pricing under bilateral counterparty risk
Year of publication: |
October 2017
|
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Authors: | Carr, Peter ; Ghamami, Samim |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 1, p. 77-107
|
Subject: | asset pricing | reduced-form modeling | counterparty risk | wrong-way risk (WWR) | credit value adjustment (CVA) | Theorie | Theory | Derivat | Derivative | Kreditrisiko | Credit risk | CAPM | Finanzdienstleistung | Financial services | Kreditderivat | Credit derivative | Kreditwürdigkeit | Credit rating |
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