Samim Ghamami - Central Bank Research Hub

Papers by year: All | 2015 | 2014

Title Other author(s)

Derivatives Pricing under Bilateral Counterparty Risk

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-026, 02.05.2015)

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2014-114, 13.04.2015)

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2014-54, 08.08.2014)

Papers by year: All | 2015 | 2014