Credit contingent interest rate swap pricing

Credit value adjustment (CVA) is an adjustment to an existing trading price based on the counterparty-risk premium. Currently, CVA is computed with an implicit assumption that the replacement contract is default-free after the original counterparty defaults, with the assumption that those trades wil...

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Detalles Bibliográficos
Autores principales: Huang, Haohan, Huang, Huaxiong, Wang, Eugene, Zhu, Hongmei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2017
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6961469/
https://www.ncbi.nlm.nih.gov/pubmed/32010413
http://dx.doi.org/10.1186/s40929-017-0015-x

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6961469/
https://www.ncbi.nlm.nih.gov/pubmed/32010413
http://dx.doi.org/10.1186/s40929-017-0015-x

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