Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
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More about this item
KeywordsRiesgo de contraparte; Ajuste de valoración de crédito libre de riesgo; Permutas de incumplimiento crediticio; Volatilidad del spread de crédito; Counterparty Risk; Arbitrage-Free Credit Valuation Adjustment; Credit Default Swaps; Credit Spread Volatility.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2014-01-17 (Financial Markets)
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