DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS

DOI10.1142/S0219024911006395zbMath1282.91365MaRDI QIDQ3100992

Chuang Yi

Publication date: 22 November 2011

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

zbMATH Keywords

counterparty credit riskmark-to-creditobliged (optional) credit triggersunilateral (bilateral) credit value adjustment

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (3)

COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS ⋮ Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach ⋮ CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

Cites Work

• Credit Risk Modeling

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