On the correlation and parametric approaches to calculation of credit value adjustment
Year of publication: |
September 2017
|
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Authors: | Pang, Tao ; Chen, Wei ; Li, Le |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 11.2017, 3, p. 49-67
|
Subject: | credit value adjustment (CVA) | wrong-way risk (WWR) | right-way risk | correlation approach | parametric approach | Theorie | Theory | Kreditrisiko | Credit risk | Korrelation | Correlation | Schätzung | Estimation |
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