Imane Bakkar

Fitch Ratings Inc. - FitchSolutions

Formerly Fitch Solutions

101 Finsbury Pavement

London

United Kingdom

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