Counterparty risk pricing : impact of closeout and first-to-default times
Damiano Brigo; Cristin Buescu; Massimo Morini
| Year of publication: |
2012
|
|---|---|
| Authors: | Brigo, Damiano ; Buescu, Cristin ; Morini, Massimo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 6, p. 1-23
|
| Subject: | Credit valuation adjustment | unilateral CVA | bilateral CVA | simplified bilateral CVA | debit valuation adjustment | closeout | equity forward contract | zero coupon bond | bivariate exponential distributions | Gumbel bivariate exponential distributions | Theorie | Theory | Kreditrisiko | Credit risk | Derivat | Derivative |
| 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/10009672601