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Dynamic Hedging of Counterparty Exposure - MaRDI portal

Dynamic Hedging of Counterparty Exposure (Q4561926)

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scientific article; zbMATH DE number 6993388
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English
Dynamic Hedging of Counterparty Exposure
scientific article; zbMATH DE number 6993388

    Statements

    title
    Dynamic Hedging of Counterparty Exposure (English)
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    author
    Tomasz R. Bielecki
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    Stéphane Crépey
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    publication date
    13 December 2018
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    zbMATH Keywords
    counterparty risk
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    credit risk
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    credit valuation adjustment
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    expected positive exposure
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    collateralization
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    Markov copula
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    joint defaults
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    hedging
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G10
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    62P05
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    62H05
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    91G20
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    zbMATH DE Number
    6993388
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    OpenAlex ID
    W1907917706
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