CVA under alternative settlement conventions and with systemic risk
Cyril Durand; Marek Rutkowski
| Year of publication: |
2013
|
|---|---|
| Authors: | Durand, Cyril ; Rutkowski, Marek |
| 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, 7, p. 1-40
|
| Subject: | Credit risk | counterparty risk | credit value adjustment | margin agreement | systemic risk | Markovian model | Theorie | Theory | Finanzdienstleistung | Financial services | Kreditrisiko | Systemrisiko | Systemic risk | Risikomaß | Risk measure |
| 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/10010233319