A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (Q4555855)
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scientific article; zbMATH DE number 6983645
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA |
scientific article; zbMATH DE number 6983645 |
Statements
A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (English)
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23 November 2018
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default intensity
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time-changed diffusion
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Lévy subordinator
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credit value adjustment (CVA)
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wrong-way risk (WWR)
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adaptive control variate
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