Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
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Publication:6489108
DOI10.1007/S11464-021-0472-1MaRDI QIDQ6489108
Unnamed Author, Jing-Ping Yang, Feng Lin
Publication date: 19 April 2024
Published in: Frontiers of Mathematics (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
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