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2013•Methodology And Computing In Applied ProbabilityRequires access

Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model

Yinghui Dong, Guojing Wang, Kam Chuen Yuen

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Key concepts: Credit risk, Counterparty, Credit valuation adjustment, Valuation (finance), Model risk, Interest rate swap, Arbitrage, Swap (finance)

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