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

Damiano Brigo and Frédéric Vrins

No 2949, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2018-01-01
Note: In : European Journal of Operations Research, 269, 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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