Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models

Brigo, Damiano;Hvolby, Thomas;Vrins, Frédéric
(2017) Innovations in Insurance, Risk- and Asset Management — accepted/in-press

Files

No attached file found for this publication.

Details

Authors
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Brigo, D., Hvolby, T., & Vrins, F. (2017). Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In Glau Kathrin, Linders Daniël, Min Aleksey, Scherer Matthias, Zagst Rudi (ed.), Innovations in Insurance, Risk- and Asset Management. Springer. https://hdl.handle.net/2078.5/175378