Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics

Frédéric Vrins

No 2922, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2017-01-01
Note: In : International Journal of Theoretical and Applied Finance, 20(7), 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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