CVA wrong way risk multiplier decomposition and efficient CVA curve
Tao Pang, Wei Chen, Le Li
Year of publication: |
2015
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Authors: | Pang, Tao ; Chen, Wei ; Li, Le |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 8.2015, 4, p. 390-404
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Subject: | credit value adjustment | CVA | wrong-way-risk | WWR | Risiko | Risk | Multiplikator | Multiplier | Kredit | Credit | Wertberichtigung | Value adjustment |
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