CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING

DOI10.1142/S021902491550017XzbMath1337.91124OpenAlexW3123245459MaRDI QIDQ5256836

Omar El Hajjaji, Alexander Subbotin

Publication date: 29 June 2015

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

Full work available at URL: https://doi.org/10.1142/s021902491550017x

zbMATH Keywords

hedgingvolatilitycounterparty riskCVAwrong way risk

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• Counterparty Credit Risk, Collateral and Funding

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