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Persistent link: https://www.econbiz.de/10002081534
This paper analyses the most widely applied correlation approaches in finance. We first discuss primarily bottom-up approaches, as correlating Brownian motions (Heston 1993), the binomial correlation approach (Lucas 1995), Copulas (Sklar 1959, Li 2000), lattice models with dynamic copulas...
Persistent link: https://www.econbiz.de/10012905942
The Dodd-Frank Act and the recently proposed Basel Committee regulatory framework for CCPs are a game changer for counterparty credit risk management. The practice of charging an upfront fee as a Credit Valuation Adjustment (CVA) to provision against counterparty credit risk liabilities is being...
Persistent link: https://www.econbiz.de/10013125028
Persistent link: https://www.econbiz.de/10014304378