VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (Q5389101)
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scientific article; zbMATH DE number 6027855
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL |
scientific article; zbMATH DE number 6027855 |
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VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (English)
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24 April 2012
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counterparty credit risk
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CDS
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CVA
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wrong-way risk
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dynamic hedging
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