COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (Q4649502)
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scientific article; zbMATH DE number 6109789
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES |
scientific article; zbMATH DE number 6109789 |
Statements
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (English)
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22 November 2012
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credit valuation adjustment
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unilateral CVA
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bilateral CVA
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simplified bilateral CVA
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debit valuation adjustment
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closeout
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equity forward contract
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zero coupon bond
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bivariate exponential distributions
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Gumbel bivariate exponential distributions
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