Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
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References listed on IDEAS
- Damiano Brigo & Agostino Capponi, 2008. "Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps," Papers 0812.3705, arXiv.org, revised Nov 2009.
- Li, Hui, 2009. "Extension of Spot Recovery Model for Gaussian Copula," MPRA Paper 17944, University Library of Munich, Germany.
- Li, Hui, 2009. "On Models of Stochastic Recovery for Base Correlation," MPRA Paper 15750, University Library of Munich, Germany.
- Christophette Blanchet-Scalliet & Fr'ed'eric Patras, 2008. "Counterparty risk valuation for CDS," Papers 0807.0309, arXiv.org.
- Li, Hui, 2008. "CVA calculation for CDS on super senior ABS CDO," MPRA Paper 17945, University Library of Munich, Germany.
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KeywordsCounterparty Risk; Credit Valuation Adjustment; Wrong-Way Risk; Default Time Copula; Gaussian Copula; Default Correlation; Stochastic Recovery; Spot Recovery; Credit Default Swap;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-BAN-2010-01-16 (Banking)
- NEP-RMG-2010-01-16 (Risk Management)
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