Wei Yu Jiang

McGill University, Students

PhD Student

Montréal, Quebec

Canada

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Scholarly Papers (1)

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Credit Value Adjustment with Market-Implied Recovery

Number of pages: 42 Posted: 28 Jun 2016 Last Revised: 09 Oct 2017
Pascal Francois and Wei Yu Jiang
HEC Montreal - Department of Finance and McGill University, Students
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Abstract:

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CVA, Implied recovery, Credit risk, OTC derivatives