2 papers
q-fin.MF2019
Affine term structure models : a time-changed approach with perfect fit to market curves
Cheikh Mbaye, Frédéric Vrins
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curve…
q-fin.MF2016
Wrong-Way Risk Models: A Comparison of Analytical Exposures
Frédéric Vrins
In this paper, we compare static and dynamic (reduced form) approaches for modeling wrong-way risk in the context of CVA. Although all these approaches potentially suffer from arbi…