Oussama Marzouk

HEC Montreal - Department of Decision Sciences

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

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Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk

Journal of Risk, Vol. 21, No. 5, 2019
Number of pages: 28 Posted: 19 Jun 2019
Michèle Breton and Oussama Marzouk
HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Decision Sciences
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Abstract:

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credit risk, counterparty risk, credit valuation adjustment (CVA), value-at-risk (VaR), wrong-way risk, constant exposure approximation