The implications of dependence, tail dependence, and bounds' measures for counterparty credit risk pricing
Juan Arismendi-Zambrano, Vladimir Belitsky, Vinicius Amorim Sobreiro, Herbert Kimura
| Year of publication: |
2022
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|---|---|
| Authors: | Arismendi Zambrano, Juan Carlos ; Belitsky, Vladimir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 58.2022, p. 1-29
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| Subject: | Counterparty credit risk | Credit risk | Credit value adjustment | Dependence of credit risk components | Pricing swaps | Kreditrisiko | Theorie | Theory | Risikomaß | Risk measure | Derivat | Derivative | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfs.2021.100969 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013417464