Counterparty risk and funding : immersion and beyond
Year of publication: |
October 2016
|
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Authors: | Crépey, Stéphane ; Song, Shiqi |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 4, p. 901-930
|
Subject: | Counterparty risk | Funding | BSDE | Reduced-form credit modelling | Immersion | Wrong-way risk | Gap risk | Collateral | Credit derivatives | Marked default times | Marshall-Olkin copula | Finanzdienstleistung | Financial services | Derivat | Derivative | Kreditrisiko | Credit risk | Kreditsicherung | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative | Risikomanagement | Risk management |
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