Counterparty Risk and Funding: A Tale of Two Puzzles by Tomasz R. Bielecki Paper
83,66 €
By Tomasz R. Bielecki, Damiano Brigo, Stéphane Crépey. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities.
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