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BOUNDING WRONG‐WAY RISK IN CVA CALCULATION - MaRDI portal

BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (Q4635042)

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scientific article; zbMATH DE number 6859725
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English
BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
scientific article; zbMATH DE number 6859725

    Statements

    title
    BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (English)
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    author
    Paul Glasserman
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    Linan Yang
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    publication date
    13 April 2018
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    zbMATH Keywords
    credit valuation adjustment
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    counterparty credit risk
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    robustness
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    iterative proportional fitting process (IPFP)
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    I-projection
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    Identifiers

    DOI
    10.1111/mafi.12141
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    zbMATH DE Number
    6859725
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    OpenAlex ID
    W3125761496
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