Derivatives Pricing under Bilateral Counterparty Risk
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DOI: 10.17016/FEDS.2015.026
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References listed on IDEAS
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More about this item
Keywords
Basel III; Counterparty Risk; Credit Value Adjustment; Reduced-Form Modeling; Wrong Way Risk;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-05-09 (Banking)
- NEP-RMG-2015-05-09 (Risk Management)
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