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Stochastic intensity models of wrong way risk : wrong way CVA need not exceed independent CVA

Ghamami, Samim; Goldberg, Lisa - In: The journal of derivatives : the official publication … 21 (2014) 3, pp. 24-35

Persistent link: https://www.econbiz.de/10010387688

Stochastic intensity models of wrong way risk : wrong way CVA need not exceed independent CVA

Ghamami, Samim; Goldberg, Lisa - 2014

Persistent link: https://www.econbiz.de/10010434045

Stochastic Intensity Models of Wrong Way Risk : Wrong Way CVA Need Not Exceed Independent CVA

Ghamami, Samim - 2019

Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White (2012) introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...

Persistent link: https://www.econbiz.de/10012905183

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Ghamami, Samim; Goldberg, Lisa R. - Federal Reserve Board (Board of Governors of the … - 2014

Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...

Persistent link: https://www.econbiz.de/10010886220