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Title:

Extremal dependence for bilateral credit valuation adjustments

Document type:
Zeitschriftenaufsatz
Author(s):
Scherer, M.; Schulz, T.
Non-TUM Co-author(s):
ja
Cooperation:
-
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 consen...     »
Keywords:
Model risk; counterparty credit risk; credit valuation adjustments; wrong way risk; mass-transportation
Intellectual Contribution:
Discipline-based Research
Journal title:
International Journal of Theoretical and Applied Finance (IJTAF)
Journal listet in FT50 ranking:
nein
Year:
2016
Journal volume:
19
Journal issue:
7
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1142/S0219024916500424
Status:
Postprint / reviewed
Submitted:
15.06.2015
Accepted:
09.06.2016
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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