Valuation and hedging of CDS counterparty exposure in a Markov copula model
T. R. Bielecki, S. Crépey, M. Jeanblanc and B. Zargari
| Year of publication: |
2012
|
|---|---|
| Authors: | Bielecki, Tomasz R. ; Crépey, S. ; Jeanblanc, Monique ; Zargari, B. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-39
|
| Subject: | Counterparty credit risk | CDS | CVA | wrong-way risk | dynamic hedging | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Hedging | Derivat | Derivative | Risikomanagement | Risk management | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory |
| 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://www.econbiz.de/10009562148