Name
Title | ||
|---|---|---|
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. |
Abstract | ||
|---|---|---|
•Wrong-way risk can be regarded as a change-of-measure problem.•The exposure’s adjustment can be found explicitly thanks to Girsanov’s theorem.•Semi-analytical approximations allow to avoid preforming simulations in many cases.•The good performances of the method are illustrated on various examples. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1016/j.ejor.2018.03.015 | European Journal of Operational Research |
Keywords | Field | DocType |
Counterparty risk,Credit valuation adjustment,Wrong-way risk,Drift adjustment | Econometrics,Basel III,Monte Carlo method,Mathematical optimization,Credit valuation adjustment,Compromise,Bivariate analysis,Credit risk,Derivative (finance),Mathematics,Spite | Journal |
Volume | Issue | ISSN |
269 | 3 | 0377-2217 |
Citations | PageRank | References |
1 | 0.38 | 1 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Damiano Brigo | 1 | 17 | 8.42 |
| F. Vrins | 2 | 25 | 2.66 |