A copula approach to credit valuation adjustment for swaps under wrong-way risk
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F18%3A00052653" target="_blank" >RIV/61384399:31110/18:00052653 - isvavai.cz</a>
Result on the web
<a href="https://www.risk.net/journal-of-credit-risk/5415416/a-copula-approach-to-cva-for-swaps-under-wrong-way-risk" target="_blank" >https://www.risk.net/journal-of-credit-risk/5415416/a-copula-approach-to-cva-for-swaps-under-wrong-way-risk</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21314/JCR.2017.234" target="_blank" >10.21314/JCR.2017.234</a>
Alternative languages
Result language
angličtina
Original language name
A copula approach to credit valuation adjustment for swaps under wrong-way risk
Original language description
Main topics of the document: counterparty credit risk; credit valuation adjustment; copulas; wrong-way risk; interest rate swap
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50602 - Public administration
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
The Journal of Credit Risk
ISSN
1744-6619
e-ISSN
1755-9723
Volume of the periodical
14
Issue of the periodical within the volume
1
Country of publishing house
GB - UNITED KINGDOM
Number of pages
13
Pages from-to
31-43
UT code for WoS article
000427287700002
EID of the result in the Scopus database
2-s2.0-85045395475