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Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
Counterparty Risk, Credit Valuation adjustment Commodities Swaps,Oil models Convenience Yield models Stochastic Intensity models
2010/10/29
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. I...