CVA calculation for CDS on super senior ABS CDO
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- Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
- repec:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500131 is not listed on IDEAS
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KeywordsCredit Value Adjustment; Super Senior ABS CDO; Monoline insurer;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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