Credit Risk Pricing with Multivariate Stochastic Volatility

2009 ◽  
Author(s):  
Jun Du ◽  
Yang Liu
Keyword(s):  
Credit Risk ◽  
Stochastic Volatility ◽  
Multivariate Stochastic Volatility ◽  
Risk Pricing ◽  
Credit Risk Pricing

scholarly journals The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing

2020 ◽  
Author(s):  
Juan Arismendi-Zambrano ◽  
Vladimir Belitsky ◽  
Vinicius Amorim Sobreiro ◽  
Herbert Kimura
Keyword(s):  
Credit Risk ◽  
Counterparty Credit Risk ◽  
Risk Pricing ◽  
Credit Risk Pricing
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