Bounding Wrong-Way Risk in Measuring Counterparty Risk
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References listed on IDEAS
- Friedrich Pukelsheim, 2014. "Biproportional scaling of matrices and the iterative proportional fitting procedure," Annals of Operations Research, Springer, vol. 215(1), pages 269-283, April.
- Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.
- Samim Ghamami & Lisa R. Goldberg, 2014. "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Finance and Economics Discussion Series 2014-54, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
- Derek Singh & Shuzhong Zhang, 2019. "Distributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way Funding Risk," Papers 1910.03993, arXiv.org.
- Derek Singh & Shuzhong Zhang, 2020. "Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk," Applied Economics and Finance, Redfame publishing, vol. 7(6), pages 70-100, December.
- Janis Müller & Peter N. Posch, 2018. "Wrong-way-risk in tails," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 205-215, July.
- Derek Singh & Shuzhong Zhang, 2019. "Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk," Papers 1910.01781, arXiv.org, revised May 2020.
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Keywords
credit valuation adjustment; counterparty credit risk; wrong-way risk; iterative proportional fitting process (IPFP);All these keywords.
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