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Kreditderivat
arbitrage-free credit valuation adjustment
3
credit spread volatility
3
default correlation
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stochastic intensity
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wrong way risk
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Counterparty risk
2
Credit risk
2
Derivat
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Derivative
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Kreditrisiko
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Swap
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bilateral risk
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copula functions
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credit valuation adjustment
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interest rate derivatives
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interest rate swaps
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short rate models
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Ajuste de valoración de crédito libre de riesgo
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Arbitrage-Free Credit Valuation Adjustment
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CVA
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Collateral
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Correlation
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Counterparty Risk
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Credit Default Swaps
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Credit Spread Volatility
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Credit derivative
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Credit rating
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Estimation
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Financial services
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Finanzdienstleistung
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Insolvency
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Insolvenz
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Interest rate derivative
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Korrelation
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Kreditsicherung
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Kreditwürdigkeit
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Option pricing theory
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Brigo, Damiano
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Capponi, Agostino
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Pallavicini, Andrea
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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