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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Scherer, M.; Schulz, T. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Extremal dependence for bilateral credit valuation adjustments 
Abstract:
Recognizing counterparty default risk as integral part of the valuation process of financial derivatives has changed the classical view on option pricing. Calculating the bilateral credit valuation adjustment (BCVA) including wrong way risk (WWR) requires a sound model for the dependence structure between three quantities: the default times of the two contractual parties and the derivative/portfolio value at the first of the two default times. There exist various proposals, but no market conse...    »
 
Stichworte:
Model risk; counterparty credit risk; credit valuation adjustments; wrong way risk; mass-transportation 
Zeitschriftentitel:
International Journal of Theoretical and Applied Finance (IJTAF) 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2016 
Band / Volume:
19 
Heft / Issue:
Reviewed:
ja 
Sprache:
en 
Status:
Postprint / reviewed 
Angenommen (von Zeitschrift):
09.06.2016 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Leitbild: