Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Frédéric Vrins
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Vrins, Frédéric |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 7, p. 1-35
|
| Subject: | Counterparty credit risk | wrong-way risk | intensity models | Kreditrisiko | Credit risk | Theorie | Theory | Risiko | Risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500455 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011763941