Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
type: Item
instance of: scholarly article
title: Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
zbMATH Open document ID: 1390.91312
author: Frédéric Vrins
author: Damiano Brigo
published in: European Journal of Operational Research
publication date: 2018-05-17T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6869356
zbMATH Keywords: counterparty risk
zbMATH Keywords: credit valuation adjustment
zbMATH Keywords: wrong-way risk
zbMATH Keywords: drift adjustment
MaRDI profile type: Publication
full work available at URL: j.ejor.2018.03.015
OpenAlex ID: W2791432312
cites work: On the discretization schemes for the CIR (and Bessel squared) processes
cites work: Arbitrage Theory in Continuous Time
cites work: Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
cites work: ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
cites work: PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
cites work: AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
cites work: Interest rate models -- theory and practice. With smile, inflation and credit
cites work: Counterparty Credit Risk, Collateral and Funding
cites work: Q4086511
cites work: CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK
cites work: Conic martingales from stochastic integrals
cites work: Pricing derivatives with counterparty risk and collateralization: a fixed point approach
cites work: Stochastic calculus for finance. II: Continuous-time models.
cites work: WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
cites work: CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH
Wikidata QID: Q130098597
DOI: 10.1016/J.EJOR.2018.03.015
description: scientific article; zbMATH DE number 6869356