Imane Bakkar

Fitch Ratings Inc. - FitchSolutions

Formerly Fitch Solutions

101 Finsbury Pavement

London

United Kingdom

SCHOLARLY PAPERS

1

DOWNLOADS

694

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (1)

Actions:
Email selected abstracts
1.

Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation

Number of pages: 21 Posted: 24 Jun 2008
Damiano Brigo, Kyriakos Chourdakis and Imane Bakkar
Imperial College London - Department of Mathematics, FitchSolutions and Fitch Ratings Inc. - FitchSolutions
Downloads 694 (51,697)
Citation 6

Abstract:

Loading...

Counterparty Risk, Credit Valuation adjustment, Commodities, Swaps, Oil models, Convenience Yield models, Stochastic Intensity models