Bilateral counterparty risk under funding constraints - part II : CVA
Year of publication: |
2015
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Authors: | Crépey, Stéphane |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 1, p. 23-50
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Subject: | counterparty risk | funding costs | credit valuation adjustment | backward stochastic differential equation | Theorie | Theory | Kreditrisiko | Credit risk | Derivat | Derivative | Analysis | Mathematical analysis | Stochastischer Prozess | Stochastic process |
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