Structural estimation of counterparty credit risk under recovery risk
Rosella Castellano, Vincenzo Corallo, Giacomo Morelli
| Year of publication: |
2022
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|---|---|
| Authors: | Castellano, Rosella ; Corallo, Vincenzo ; Morelli, Giacomo |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 140.2022, p. 1-9
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| Subject: | Counterparty Credit Risk | CVA | DVA | Energy Commodities | Lévy Processes | Recovery Risk | Structural Defaults | Kreditrisiko | Credit risk | Derivat | Derivative | Risikomanagement | Risk management | Insolvenz | Insolvency | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106512 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463128