A note on the double impact on CVA for CDS: wrong-way risk with stochastic recovery (Q2841329)
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scientific article; zbMATH DE number 6191017
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the double impact on CVA for CDS: wrong-way risk with stochastic recovery |
scientific article; zbMATH DE number 6191017 |
Statements
24 July 2013
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counterparty credit risk
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wrong-way risk
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stochastic recovery
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credit valuation adjustment
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credit default swaps
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Gaussian copula
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A note on the double impact on CVA for CDS: wrong-way risk with stochastic recovery (English)
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