Efficient wrong-way risk modeling for funding valuation adjustments (Q6633868)
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scientific article; zbMATH DE number 7939741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient wrong-way risk modeling for funding valuation adjustments |
scientific article; zbMATH DE number 7939741 |
Statements
Efficient wrong-way risk modeling for funding valuation adjustments (English)
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6 November 2024
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Gaussian approximation
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wrong-way risk (WWR)
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funding valuation adjustment (FVA)
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computational finance
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risk management
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