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CVA wrong way risk multiplier decomposition and efficient CVA curve

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Rating Momentum in the Macroeconomic Stress Testing and Scenario Analysis of Credit Risk

Skoglund, Jimmy - 2016

With the focus on multi-horizon macroeconomic credit loss projection models in stress testing and impairments it is of interest to understand how different model assumptions can impact the projection under stressed and best estimate economic projections. In this paper we focus on the popular...

Persistent link: https://www.econbiz.de/10012989609