A note on CVA and wrong way risk
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DOI: 10.1142/S2424786316500122
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References listed on IDEAS
- Roberto Baviera & Alessandro Cassaro, 2015. "A Note on Dual-Curve Construction: Mr. Crab's Bootstrap," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(2), pages 105-132, April.
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Cited by:
- BRIGO, Damiano & VRINS, Frédéric, 2018.
"Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures,"
European Journal of Operational Research, Elsevier, vol. 269(3), pages 1154-1164.
- Damiano Brigo & Frédéric Vrins, 2018. "Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures," LIDAM Reprints CORE 2949, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
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Keywords
Credit value adjustment; Basel III CVA capital charges; path dependency valuation; model calibration;All these keywords.
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