A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY

DOI10.1142/S0219024913500131zbMath1269.91087OpenAlexW1985994513MaRDI QIDQ2841329

Hui Li

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500131

zbMATH Keywords

Gaussian copulacredit default swapscredit valuation adjustmentwrong-way riskcounterparty credit riskstochastic recovery

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

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