Quantifying correlation uncertainty risk in credit derivatives pricing
Year of publication: |
June 2018
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Authors: | Turfus, Colin |
Subject: | perturbation expansion | Green’s function | model risk | model uncertainty | credit derivatives | CVA | correlation risk | Risiko | Risk | Derivat | Derivative | Kreditrisiko | Credit risk | Korrelation | Correlation | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Kreditderivat | Credit derivative |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs6020039 [DOI] hdl:10419/195720 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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