Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics

Frédéric Vrins

No 2017001, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Date: 2017-10-01
Note: In : International Journal of Theoretical and Applied Finance, Vol. 20, no. 7:1750045 (2017)
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Working Paper: Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics (2017)
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