Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
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Cited by:
- Cheikh Mbaye & Frédéric Vrins, 2018.
"A Subordinated Cir Intensity Model With Application To Wrong-Way Risk Cva,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-22, November.
- Cheikh Mbaye & Fr'ed'eric Vrins, 2018. "A subordinated CIR intensity model with application to Wrong-Way risk CVA," Papers 1801.05673, arXiv.org.
- Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mbaye, Cheikh & Vrins, Frédéric, 2018. "A subordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints LFIN 2018016, Université catholique de Louvain, Louvain Finance (LFIN).
- Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
- Frédéric Vrins, 2017.
"Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
- Vrins, Frédéric, 2017. "Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics," LIDAM Reprints LFIN 2017001, Université catholique de Louvain, Louvain Finance (LFIN).
- Frédéric Vrins, 2017. "Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics," LIDAM Reprints CORE 2922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- David Xiao, 2023. "Default Process Modeling and Credit Valuation Adjustment," Papers 2309.03311, arXiv.org.
- Lee, David, 2023. "Default Forecasting and Credit Valuation Adjustment," MPRA Paper 118578, University Library of Munich, Germany.
- Feng, Yaqin & Wang, Min & Zhang, Yuanqing, 2019. "CVA for Cliquet options under Heston model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 272-282.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2016-11-13 (Risk Management)
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