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Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics

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)
Permanent URL http://hdl.handle.net/2078.1/187277