Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176)
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scientific article; zbMATH DE number 6377133
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bilateral counterparty risk valuation on a CDS with a common shock model |
scientific article; zbMATH DE number 6377133 |
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Bilateral counterparty risk valuation on a CDS with a common shock model (English)
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5 December 2014
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counterparty credit risk
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CDS
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credit valuation adjustment
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Cox process
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regime switching
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