On the mathematical form of CVA in Basel III
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KeywordsCVA; CVaR; statistical methodology.;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- A14 - General Economics and Teaching - - General Economics - - - Sociology of Economics
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-30 (All new papers)
- NEP-BAN-2011-05-30 (Banking)
- NEP-RMG-2011-05-30 (Risk Management)
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