Wrong way risk corrections to CVA in CIR reduced-form models
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
| Year of publication: |
2023
|
|---|---|
| Authors: | Antonelli, Fabio ; Ramponi, Alessandro ; Scarlatti, Sergio |
| Subject: | Counterparty credit risk | Credit value adjustment | Vulnerable options | Wrong way risk | Kreditrisiko | Credit risk | Theorie | Theory | Risiko | Risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Derivat | Derivative |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-023-00480-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014393427