Counterparty credit risk under credit risk contagion using time-homogeneous phase-type distribution
With the current situation of credit spread contagion illustrated by the European sovereign bonds crisis and the chain reaction triggered by the derivatives books of Lehman Brothers, financial institutions have increasingly focused on pricing and risk management of counterparty credit risk. Recent c...
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Imperial College London
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.689112 |