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Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
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Document type | Article de périodique (Journal article) – Article de recherche |
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Access type | Accès libre |
Publication date | 2018 |
Language | Anglais |
Journal information | "European Journal of Operational Research" - Vol. 269, p. 1154-1164 (2018) |
Peer reviewed | yes |
Publisher | Elsevier BV * North-Holland (Amsterdam) |
issn | 0377-2217 |
e-issn | 1872-6860 |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/LFIN - Louvain Finance UCL - SSH/LIDAM/CORE - Center for operations research and econometrics |
Keywords | counterparty risk ; redit valuation adjustment ; wrong-way risk ; drift adjustment |
Links |
Bibliographic reference | Damiano Brigo ; Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018) |
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Permanent URL | http://hdl.handle.net/2078.1/196286 |