The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing (2022)
- Authors:
- Autor USP: BELITSKY, VLADIMIR - IME
- Unidade: IME
- DOI: 10.1016/j.jfs.2021.100969
- Subjects: POLÍTICA DE PREÇO; ESTATÍSTICA APLICADA
- Keywords: Credit risk; Counterparty Credit Risk; Credit value adjustment; Dependence of credit riskcomponents; Pricing swaps
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título: Journal of Financial Stability
- ISSN: 1572-3089
- Volume/Número/Paginação/Ano: v. 58, art. 100969, 2022
- Este artigo NÃO possui versão em acesso aberto
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Status: Nenhuma versão em acesso aberto identificada -
ABNT
ARISMENDI-ZAMBRANO, Juan et al. The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. Journal of Financial Stability, v. 58, 2022Tradução . . Disponível em: https://doi.org/10.1016/j.jfs.2021.100969. Acesso em: 17 mar. 2026. -
APA
Arismendi-Zambrano, J., Belitsky, V., Sobreiro, V. A., & Kimura, H. (2022). The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. Journal of Financial Stability, 58. doi:10.1016/j.jfs.2021.100969 -
NLM
Arismendi-Zambrano J, Belitsky V, Sobreiro VA, Kimura H. The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing [Internet]. Journal of Financial Stability. 2022 ; 58[citado 2026 mar. 17 ] Available from: https://doi.org/10.1016/j.jfs.2021.100969 -
Vancouver
Arismendi-Zambrano J, Belitsky V, Sobreiro VA, Kimura H. The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing [Internet]. Journal of Financial Stability. 2022 ; 58[citado 2026 mar. 17 ] Available from: https://doi.org/10.1016/j.jfs.2021.100969 - On the Bartlett spectrum of randomized Hawkes processes
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