CVA Tail Risk and Portfolio Netting for Derivatives
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Cva
Wrong-Way Risk and Collateral in Counterparty Credit Pricing
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
How Banks Price Counterparty Credit Risk on Derivatives
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7