Prague, 186 75
Charles University in Prague - Faculty of Mathematics and Physics
Counterparty Credit Risk, Credit Valuation Adjustment, Copulas, Wrong-way Risk, Interest Rate Swaps
Wrong-way risk, WWR, correlation coefficient calibration, maximum likelihood estimation, CVA
Interest rate models calibration, Vasicek model, Bayesian methods, MCMC algorithm
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3123144.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
counterparty credit risk, credit valuation adjustment (CVA), copulas, wrong-way risk (WWR), interest rate swap (IRS).
Counterparty Credit Risk, Credit Valuation Adjustment, Wrong-way Risk, Risky Swaption Price, Semi-analytical Formula, Interest Rate Swap Price
This page was processed by aws-apollo4 in 0.204 seconds