Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures-Reference-Cited by-同舟云学术

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

Published:2018-09 Issue:3 Volume:269 Page:1154-1164
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

BRIGO Damiano^ORCID,VRINS Frédéric^ORCID

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference31 articles.

1. On the discretization schemes for the CIR (and other Bessel squared) processes;Alfonsi,2005

2. Integrated structural approach to counterparty credit risk with dependent jumps;Ballotta,2015

3. A note on CVA and wrong way risk;Baviera;Journal of Financial Engineering,2016

4. Credit risk modeling;Bielecki,2011

5. The cost of counterparty risk and collateralization in longevity swaps;Biffis;Journal of Risk and Insurance,2016

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