Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

Damiano Brigo and Frédéric Vrins

No 2018012, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Date: 2018-01-01
Note: In : European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018)
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Journal Article: Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)
Working Paper: Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures (2018)
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