Bilateral credit valuation adjustment for large credit derivatives portfolios
Lijun Bo; Agostino Capponi
| Year of publication: |
2014
|
|---|---|
| Authors: | Bo, Lijun ; Capponi, Agostino |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 2, p. 431-482
|
| Subject: | Credit valuation adjustment | Weak convergence | Doubly stochastic processes | Credit default swaps | Theorie | Theory | Kreditrisiko | Credit risk | Derivat | Derivative | Kreditderivat | Credit derivative | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010340674