Counterparty risk and funding: Immersion and beyond
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References listed on IDEAS
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More about this item
Keywordscredit derivatives; gap risk; collateral; immersion; invariant times; wrong-way risk; BSDE; reduced-form credit modeling; dynamic copulas; Counterparty risk; funding;
All these keywords.
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2015-08-25 (Risk Management)
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