Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.

Damiano Brigo Frédéric Vrins

Published in: Eur. J. Oper. Res. (2018)

Keyphrases

risk measures
credit risk
risk analysis
influencing factors
risk evaluation
risk management
risk assessment
credit scoring
portfolio optimization
association rules
quality measures
credit card
high risk
quantitative measures
minimum risk
black scholes