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Document type:
Zeitschriftenaufsatz 
Author(s):
Scherer, M.; Schulz, T. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
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...    »
 
Keywords:
Model risk; counterparty credit risk; credit valuation adjustments; wrong way risk; mass-transportation 
Journal title:
International Journal of Theoretical and Applied Finance (IJTAF) 
Journal listet in FT50 ranking:
nein 
Year:
2016 
Journal volume:
19 
Journal issue:
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
Accepted:
09.06.2016 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Mission statement:
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