Open AccessThe Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing
Author(s) -
Juan Arismendi-Zambrano,
Vladimir Belitsky,
Vinícius Amorim Sobreiro,
Herbert Kimura
Publication year - 2020
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3931840
Subject(s) - credit risk , business , dependency (uml) , credit valuation adjustment , actuarial science , counterparty , credit spread (options) , tail risk , risk analysis (engineering) , finance , computer science , credit reference , software engineering
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