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Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics
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Document type | Article de périodique (Journal article) – Article de recherche |
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Access type | Accès libre |
Publication date | 2017 |
Language | Anglais |
Journal information | "International Journal of Theoretical and Applied Finance" - Vol. 20, no. 7:1750045 (2017) |
Peer reviewed | yes |
Publisher | World Scientific Publishing Co. Pte. Ltd. ((Singapore) Singapore) |
issn | 0219-0249 |
e-issn | 1793-6322 |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/LFIN - Louvain Finance UCL - SSH/LIDAM/CORE - Center for operations research and econometrics |
Links |
Bibliographic reference | Vrins, Frédéric. Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics. In: International Journal of Theoretical and Applied Finance, Vol. 20, no. 7:1750045 (2017) |
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Permanent URL | http://hdl.handle.net/2078.1/187277 |