Collateralized CVA valuation with rating triggers and credit migrations
Year of publication: |
2013
|
---|---|
Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Iyigunler, Ismail |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 2, p. 1-32
|
Subject: | Counterparty risk | credit valuation adjustment | CVA | OTC contracts | break clauses | additional termination events | rating triggers | dynamic collateralization | Theorie | Theory | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Finanzdienstleistung | Financial services | Kreditwürdigkeit | Credit rating | Derivat | Derivative |
-
COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
BIELECKI, TOMASZ R., (2013)
-
Restructuring counterparty credit risk
Albanese, Claudio, (2013)
-
Brigo, Damiano, (2013)
- More ...
-
Bielecki, Tomasz R., (2013)
-
COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
BIELECKI, TOMASZ R., (2013)
-
Bielecki, Tomasz R., (2012)
- More ...