Integrated structural approach to Credit Value Adjustment
Year of publication: |
1 February 2019
|
---|---|
Authors: | Ballotta, Laura ; Fusai, Gianluca ; Marazzina, Daniele |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 272.2019, 3 (1.2.), p. 1143-1157
|
Subject: | Finance | Credit Value Adjustment | Collateral | Initial margin | Netting | Kreditsicherung | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | USA | United States | Theorie | Theory |
-
Turnbull, Stuart M., (2014)
-
Privacy restrictions and the use of data at credit registries
Bostic, Raphael W., (2003)
-
Unemloyment and unobserved credit risk in the FHA Single Family Mortgage Insurance Fund
Gyourko, Joseph E., (2013)
- More ...
-
Integrated Structural Approach to Credit Value Adjustment
Ballotta, Laura, (2018)
-
Pricing exotic derivatives exploiting structure
Sesana, Debora, (2014)
-
<italic>Z</italic>-Transform and preconditioning techniques for option pricing
Fusai, Gianluca, (2012)
- More ...