A subordinated CIR intensity model with application to wrong-way risk CVA
Cheikh Mbaye and Frédéric Vrins
| Year of publication: |
November 2018
|
|---|---|
| Authors: | Mbaye, Cheikh ; Vrins, Frédéric |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 7, p. 1-22
|
| Subject: | Default intensity | time-changed diffusion | Lévy subordinator | credit value adjustment (CVA) | wrong-way risk (WWR) | adaptive control variate | Risiko | Risk | Kredit | Credit | Wertberichtigung | Value adjustment | Kontrolle | Control |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500450 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011956998