Home Economics & Management Journal Issue Abstract

Finance

2015/1 (Vol.36)


Email alert

Your alert request has been correctly taken into account.
You will receive an email when new issues are put online.

Close

Previous Pages 39 - 74 Next

Abstract

English

We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact of changing correlation between names on these adjustments and study the effect of wrong-way and right-way risk.

To cite this article

Laura Ballotta, Gianluca Fusai, “ Counterparty credit risk in a multivariate structural model with jumps ”, Finance 1/2015 (Vol.36) , p. 39-74
URL : www.cairn.info/revue-finance-2015-1-page-39.htm.

© 2010-2014 Cairn.info
back to top
Feedback

Message sent

Your email address has been saved.
We will notify you when this article becomes available in English.