Credit contingent interest rate swap pricing
نویسندگان
چکیده
منابع مشابه
Credit contingent interest rate swap pricing
*Correspondence: [email protected] 1RBC Financial Group, 222 Bay St, M5K 1G8, Toronto, ON, Canada 2Department of Mathematics and Statistics, York University, 4700 Keele Street, M3J 1P3 Toronto, ON , Canada Full list of author information is available at the end of the article Abstract Credit value adjustment (CVA) is an adjustment to an existing trading price based on the counterparty-ri...
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ژورنال
عنوان ژورنال: Mathematics-in-Industry Case Studies
سال: 2017
ISSN: 1913-4967
DOI: 10.1186/s40929-017-0015-x