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"Wrong Way Risk corrections to CVA in CIR reduced-form models."

Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti (2023)

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DOI: 10.1007/S10287-023-00480-0

access: closed

type: Journal Article

metadata version: 2023-11-06

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Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti:
Wrong Way Risk corrections to CVA in CIR reduced-form models. Comput. Manag. Sci. 20(1): 46 (2023)

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