On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves
Year of publication: |
2023
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Authors: | Michielon, Matteo ; Khedher, Asma ; Spreij, Peter |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 2, Art.-No. 2250037, p. 1-25
|
Subject: | Credit default swap | credit valuation adjustment | cross-section methodology | proxy credit curve | Wasserstein barycenter | Wasserstein distance | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Theorie | Theory |
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