CVA, Wrong Way Risk, Hedging and Bermudan Swaption
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References listed on IDEAS
- Morini, Massimo & Prampolini, Andrea, 2010. "Risky funding: a unified framework for counterparty and liquidity risk," MPRA Paper 23555, University Library of Munich, Germany.
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KeywordsCVA; Credit Valuation Adjustment; WWR; Wrong Way Risk; Hedging; Swap; Bermudan Swaption; EPE; Expected Positive Exposure;
- A10 - General Economics and Teaching - - General Economics - - - General
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