"Disentangling wrong-way risk: pricing credit valuation adjustment via ..."

Damiano Brigo, Frédéric Vrins (2018)

> Home

Details and statistics

DOI: 10.1016/J.EJOR.2018.03.015

access: closed

type: Journal Article

metadata version: 2025-01-19

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/eor/BrigoV18
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/eor/BrigoV18
Damiano Brigo, Frédéric Vrins:
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. Eur. J. Oper. Res. 269(3): 1154-1164 (2018)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.