CVA calculation for CDS under a contagion model with regime-switching intensities (Q5017996)
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scientific article; zbMATH DE number 7449307
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CVA calculation for CDS under a contagion model with regime-switching intensities |
scientific article; zbMATH DE number 7449307 |
Statements
CVA calculation for CDS under a contagion model with regime-switching intensities (English)
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17 December 2021
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bilateral credit valuation adjustment
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default intensities
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regime-switching
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