Path-consistent wrong-way risk : a structural model approach
Year of publication: |
October 2016
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Authors: | Hofer, Markus |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016, 1, p. 25-42
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Subject: | credit valuation adjustment | wrong-way risk | copula | structural credit model | model calibration | Theorie | Theory | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Finanzdienstleistung | Financial services | Risikomanagement | Risk management | Modellierung | Scientific modelling |
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