Abstract
Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
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© 2016 Oliver Brockhaus
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Brockhaus, O. (2016). Counterparty Credit Risk. In: Equity Derivatives and Hybrids. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137349491_14
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DOI: https://doi.org/10.1057/9781137349491_14
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-55987-9
Online ISBN: 978-1-137-34949-1
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