5

Credit Valuation Adjustments– Mathematical Foundations, Practical Implementation and Wrong Way Risks

Marcus R.W. Martin and Stefan Reitz∗∗

Darmstadt University of Applied Sciences, Competence Center Stochastics and Operations Research (CCSOR)

∗∗University of Applied Sciences, Stuttgart

Chapter Outline

Get Rethinking Valuation and Pricing Models now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.