Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
نویسندگان
چکیده
منابع مشابه
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [16] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty’s default time in terms of the financial institution’s credit exposure to the counterparty. We consider a class of reduced form CVA models that includes the formu...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2014
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2014.21.3.024