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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Credit risk modeling
Backshall, Tim
;
Giesecke, Kay
;
Goldberg, Lisa
- In:
The handbook of fixed income securities
,
(pp. 779-798)
.
2005
Persistent link: https://www.econbiz.de/10003054846
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2
Forecasting default in the face of uncertainty
Giesecke, Kay
;
Goldberg, Lisa
- In:
The journal of derivatives : the official publication …
12
(
2004
)
1
,
pp. 11-25
Persistent link: https://www.econbiz.de/10002210953
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3
Stochastic Intensity Models of Wrong Way Risk : Wrong Way CVA Need Not Exceed Independent CVA
Ghamami, Samim
-
2019
Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White (2012) introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...
Persistent link: https://www.econbiz.de/10012905183
Saved in:
4
Stochastic intensity models of wrong way risk : wrong way CVA need not exceed independent CVA
Ghamami, Samim
;
Goldberg, Lisa
- In:
The journal of derivatives : the official publication …
21
(
2014
)
3
,
pp. 24-35
Persistent link: https://www.econbiz.de/10010387688
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5
Stochastic intensity models of wrong way risk : wrong way CVA need not exceed independent CVA
Ghamami, Samim
;
Goldberg, Lisa
-
2014
Persistent link: https://www.econbiz.de/10010434045
Saved in:
6
Stochastic Intensity Models of Wrong Way Risk : Wrong Way CVA Need Not Exceed Independent CVA
Ghamami, Samim
-
2015
Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White (2012) introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...
Persistent link: https://www.econbiz.de/10013032955
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