Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas
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More about this item
Keywords
Credit valuation adjustment; Credit default swap; Affine jump diffusion; Fractional fast Fourier transform; Characteristic function;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2019-02-04 (Risk Management)
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