2 papers
q-fin.RM2021
Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework
Ashish Kumar, Laszlo Markus, Norbert Hari
A positive correlation between exposure and counterparty credit risk gives rise to the so-called Wrong-Way Risk (WWR). Even after a decade of the financial crisis, addressing WWR i…
physics.soc-ph2020
Distress propagation on production networks: Coarse-graining and modularity of linkages
Ashish Kumar, Anindya S. Chakrabarti, Anirban Chakraborti +1
Distress propagation occurs in connected networks, its rate and extent being dependent on network topology. To study this, we choose economic production networks as a paradigm. An…