NG, LESLIE - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350049-1
In this work, we present some numerical procedures for a wrong way risk model that can be used for credit value adjustment (CVA) calculations. We look at a model that uses a multi-factor Hull–White model for interest rates and a single-factor lognormal Black–Karasinski default intensity...