ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (Q3100990)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS |
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ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (English)
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22 November 2011
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counterparty risk
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arbitrage-free credit valuation adjustment
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interest rate swaps
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interest rate derivatives
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credit valuation adjustment
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bilateral risk
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credit spread volatility
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default correlation
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stochastic intensity
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short rate models
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copula functions
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wrong way risk
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