Model-free bounds on bilateral counterparty valuation
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- Matthias Scherer & Thorsten Schulz, 2016. "Extremal Dependence For Bilateral Credit Valuation Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-21, November.
- Amir Memartoluie & David Saunders & Tony Wirjanto, 2015. "Wrong-Way Bounds in Counterparty Credit Risk Management," Papers 1505.02292, arXiv.org.
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KeywordsCounterparty risk; CVA; model risk;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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