A subordinated CIR intensity model with application to wrong-way risk CVA

Cheikh Mbaye and Frédéric Vrins

No 2018016, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Date: 2018-01-01
Note: In : International Journal of Theoretical and Applied Finance, Vol. 21, no.7, p. 22 (2018)
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Related works:
Working Paper: A subordinated CIR intensity model with application to Wrong-Way risk CVA (2018)
Working Paper: A surbordinated CIR intensity model with application to wrong-way risk CVA (2018)
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