The implications of tail dependency measures for counterparty credit risk pricing
J. C. Arismendi-Zambrano, Vladimir Belitsky, Vinicius Amorim Sobreiro, Herbert Kimura
| Year of publication: |
[2020]
|
|---|---|
| Authors: | Arismendi-Zambrano, J. C. ; Belitsky, Vladimir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert |
| Publisher: |
Maynooth : Maynooth University, National University of Ireland, Department of Economics, Finance & Accounting |
| Subject: | Credit risk | Counterparty Credit Risk | Credit Value Adjustment | Dependency of credit riskcomponents | Pricing swaps | Kreditrisiko | Theorie | Theory | Derivat | Derivative | Risikomaß | Risk measure |
freely available
| Extent: | 1 Online-Ressource (52 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / Department of Economics, Finance and Accounting, NUI Maynooth. - Maynooth : [Verlag nicht ermittelbar], ZDB-ID 2217362-6. - Vol. N306 (20) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013168999