Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
Year of publication: |
2014-07-30
|
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Authors: | Ghamami, Samim ; Goldberg, Lisa R. |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Credit value adjustment | stochastic intensity modeling | wrong way and right way risk | Basel III | counterparty credit risk |
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