Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Damiano Brigo; Agostino Capponi; Andrea Pallavicini; Vasileios Papatheodorou
| Year of publication: |
2013
|
|---|---|
| Authors: | Brigo, Damiano ; Capponi, Agostino ; Pallavicini, Andrea ; Papatheodorou, Vasileios |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 2, p. 1-16
|
| Subject: | Counterparty risk | credit valuation adjustment | collateral | margining procedure | credit-spread volatility | default correlation | wrong-way risk | gap risk | Kreditsicherung | Collateral | Kreditrisiko | Credit risk | Risiko | Risk | Volatilität | Volatility | Risikomanagement | Risk management | Theorie | Theory | Derivat | Derivative | Risikomaß | Risk measure | Korrelation | Correlation | Insolvenz | Insolvency | Kreditderivat | Credit derivative | Finanzkrise | Financial crisis | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10009748723