Modeling Path Dependent Counterparty Credit Risk
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References listed on IDEAS
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
- Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
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More about this item
Keywords
Counterparty credit risk; path-dependent; PFE; EE;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-01-31 (Risk Management)
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