ML-QuantSubscribe

SSRNDerivatives & Volatility

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).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page