Dynamic Hedging of Counterparty Exposure (Q4561926)
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scientific article; zbMATH DE number 6993388
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Hedging of Counterparty Exposure |
scientific article; zbMATH DE number 6993388 |
Statements
Dynamic Hedging of Counterparty Exposure (English)
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13 December 2018
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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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