Simultaneous Hedging of Regulatory and Accounting CVA

DOI10.1007/978-3-319-33446-2_6zbMath1398.91634OpenAlexW2559067257MaRDI QIDQ4689906

Christoph Berns

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_6

zbMATH Keywords

optimizationhedgingaccounting CVACVA risk charge

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (3)

BIFURCATION CONTROL FOR A CLASS OF LORENZ-LIKE SYSTEMS ⋮ HOPF BIFURCATION CONTROL USING NONLINEAR FEEDBACK WITH POLYNOMIAL FUNCTIONS ⋮ RESONANCE CONTROL FOR A FORCED SINGLE-DEGREE-OF-FREEDOM NONLINEAR SYSTEM

Cites Work

• Counterparty Credit Risk, Collateral and Funding

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