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A note on empirical analysis for general wrong-way risk and stressed CVA - MaRDI portal

A note on empirical analysis for general wrong-way risk and stressed CVA (Q3121382)

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A note on empirical analysis for general wrong-way risk and stressed CVA
scientific article

    Statements

    title
    A note on empirical analysis for general wrong-way risk and stressed CVA (English)
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    DOI
    10.14495/jsiaml.7.25
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    author
    Suguru Yamanaka
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    Masaaki Otaka
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    publication date
    18 March 2019
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    Mathematics Subject Classification ID
    91G40
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    91G10
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    62P05
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    zbMATH DE Number
    7037339
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    zbMATH Keywords
    counterparty credit risk
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    wrong-way risk
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    stressed CVA
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    OpenAlex ID
    W2024507269
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