Extremal dependence for bilateral credit valuation adjustments
type: Item
instance of: scholarly article
zbMATH Open document ID: 1396.91793
DOI: 10.1142/S0219024916500424
author: Matthias Scherer
author: Thorsten Schulz
published in: International Journal of Theoretical and Applied Finance
publication date: 2016-12-08T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6662238
zbMATH Keywords: model risk
zbMATH Keywords: counterparty credit risk
zbMATH Keywords: credit valuation adjustments
zbMATH Keywords: wrong way risk
zbMATH Keywords: mass-transportation
MaRDI profile type: Publication
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title: Extremal dependence for bilateral credit valuation adjustments
description: scientific article; zbMATH DE number 6662238