Hedging Counterparty Credit Risk
The article explores how to price and hedge counterparty credit risk and funding when there's no option to hedge the default risk of the bank or the counterparty. It uses local risk minimization to determine the best strategy.
Featured in No. 86 on 26 Feb 2025 · 2 days after release
- Released
- 24 Feb 2025
- First featured
- No. 86 · 26 Feb 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 107
- Identifier
- SSRN 5142912
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).