Source code for my Master Thesis in Credit Value Adjustment: Pricing Wrong Way Risk on Interest Rate Swaps
-
Updated
Feb 20, 2022 - C++
Source code for my Master Thesis in Credit Value Adjustment: Pricing Wrong Way Risk on Interest Rate Swaps
Portfolio credit risk modeling
Add a description, image, and links to the credit-risk topic page so that developers can more easily learn about it.
To associate your repository with the credit-risk topic, visit your repo's landing page and select "manage topics."