DVA for Assets

Risk, 2013, 26(2), 72-75 The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend (Burgard...

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Hauptverfasser:	Kenyon, Chris, Kenyon, Richard David
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Pricing of Securities Quantitative Finance - Risk Management
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