{"id":"https://openalex.org/W4387667715","doi":"https://doi.org/10.1007/s10287-023-00480-0","title":"Wrong Way Risk corrections to CVA in CIR reduced-form models","display_name":"Wrong Way Risk corrections to CVA in CIR reduced-form models","publication_year":2023,"publication_date":"2023-10-16","ids":{"openalex":"https://openalex.org/W4387667715","doi":"https://doi.org/10.1007/s10287-023-00480-0"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-023-00480-0","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10287-023-00480-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00480-0.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00480-0.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027856672","display_name":"Fabio Antonelli","orcid":"https://orcid.org/0000-0002-8607-4582"},"institutions":[{"id":"https://openalex.org/I26415053","display_name":"University of L'Aquila","ror":"https://ror.org/01j9p1r26","country_code":"IT","type":"education","lineage":["https://openalex.org/I26415053"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Fabio Antonelli","raw_affiliation_strings":["Department of Engineering, Information Sciences and Mathematics, University of L\u2019Aquila, Via Vetoio, 67100, L\u2019Aquila, Italy","Department of Engineering, Information Sciences and Mathematics, University of L'Aquila, Via Vetoio, 67100, L'Aquila, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Engineering, Information Sciences and Mathematics, University of L\u2019Aquila, Via Vetoio, 67100, L\u2019Aquila, Italy","institution_ids":["https://openalex.org/I26415053"]},{"raw_affiliation_string":"Department of Engineering, Information Sciences and Mathematics, University of L'Aquila, Via Vetoio, 67100, L'Aquila, Italy","institution_ids":["https://openalex.org/I26415053"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055297658","display_name":"Alessandro Ramponi","orcid":"https://orcid.org/0000-0002-2687-211X"},"institutions":[{"id":"https://openalex.org/I116067653","display_name":"University of Rome Tor Vergata","ror":"https://ror.org/02p77k626","country_code":"IT","type":"education","lineage":["https://openalex.org/I116067653"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Alessandro Ramponi","raw_affiliation_strings":["Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia, 2, 00133, Rome, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia, 2, 00133, Rome, Italy","institution_ids":["https://openalex.org/I116067653"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5011810713","display_name":"Sergio Scarlatti","orcid":"https://orcid.org/0000-0002-9347-6598"},"institutions":[{"id":"https://openalex.org/I116067653","display_name":"University of Rome Tor Vergata","ror":"https://ror.org/02p77k626","country_code":"IT","type":"education","lineage":["https://openalex.org/I116067653"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Sergio Scarlatti","raw_affiliation_strings":["Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia, 2, 00133, Rome, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia, 2, 00133, Rome, Italy","institution_ids":["https://openalex.org/I116067653"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5027856672"],"corresponding_institution_ids":["https://openalex.org/I26415053"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.5926,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.7015889,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":99},"biblio":{"volume":"20","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9513999819755554,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/issuer","display_name":"Issuer","score":0.8459935188293457},{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.685296356678009},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5501427054405212},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.516843855381012},{"id":"https://openalex.org/keywords/event","display_name":"Event (particle physics)","score":0.499173641204834},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.47553133964538574},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.47513917088508606},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.4742152690887451},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.46174508333206177},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.44864141941070557},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.4331626892089844},{"id":"https://openalex.org/keywords/default-risk","display_name":"Default risk","score":0.4116586446762085},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3510570824146271},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3063892126083374},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.215094655752182},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14466741681098938},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.12665215134620667}],"concepts":[{"id":"https://openalex.org/C138170105","wikidata":"https://www.wikidata.org/wiki/Q1337949","display_name":"Issuer","level":2,"score":0.8459935188293457},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.685296356678009},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5501427054405212},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.516843855381012},{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.499173641204834},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.47553133964538574},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.47513917088508606},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.4742152690887451},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.46174508333206177},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.44864141941070557},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.4331626892089844},{"id":"https://openalex.org/C2984055962","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Default risk","level":3,"score":0.4116586446762085},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3510570824146271},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3063892126083374},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.215094655752182},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14466741681098938},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.12665215134620667},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10287-023-00480-0","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10287-023-00480-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00480-0.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00480-0","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-023-00480-0","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10287-023-00480-0","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10287-023-00480-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00480-0.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320323718","display_name":"Universit\u00e0 degli Studi dell'Aquila","ror":"https://ror.org/01j9p1r26"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4387667715.pdf"},"referenced_works_count":29,"referenced_works":["https://openalex.org/W1587730626","https://openalex.org/W1931905523","https://openalex.org/W1964489504","https://openalex.org/W1980032585","https://openalex.org/W1980880908","https://openalex.org/W2059516393","https://openalex.org/W2075467994","https://openalex.org/W2084716442","https://openalex.org/W2095196343","https://openalex.org/W2107711400","https://openalex.org/W2158036201","https://openalex.org/W2465311090","https://openalex.org/W2769876852","https://openalex.org/W2781791160","https://openalex.org/W2791432312","https://openalex.org/W2884805384","https://openalex.org/W2974178925","https://openalex.org/W3033187197","https://openalex.org/W3099477419","https://openalex.org/W3121336051","https://openalex.org/W3123581802","https://openalex.org/W3123725596","https://openalex.org/W3125761496","https://openalex.org/W3134357783","https://openalex.org/W3145733953","https://openalex.org/W3209090943","https://openalex.org/W4229908791","https://openalex.org/W4233377166","https://openalex.org/W4254873027"],"related_works":["https://openalex.org/W2894900409","https://openalex.org/W3121900165","https://openalex.org/W3041760164","https://openalex.org/W2528651429","https://openalex.org/W14345046","https://openalex.org/W3126047042","https://openalex.org/W3146890110","https://openalex.org/W4282826614","https://openalex.org/W1549755930","https://openalex.org/W2291455844"],"abstract_inverted_index":{"Abstract":[0],"In":[1,38],"this":[2,102],"paper":[3],"we":[4,48],"provide":[5],"an":[6],"efficient":[7],"methodology":[8],"to":[9,21,64,76],"compute":[10],"the":[11,26,30,33,55,78,83,86,89,94,107],"credit":[12],"value":[13],"adjustment":[14],"of":[15,57,82,101],"a":[16,41,50,58,65],"European":[17],"contingent":[18],"claim":[19],"subject":[20],"some":[22],"default":[23,34,97],"event":[24,35],"concerning":[25],"issuer":[27,96],"solvability,":[28],"when":[29],"underlying":[31,90],"and":[32,43,93],"are":[36,104],"correlated.":[37],"particular,":[39],"in":[40],"Black":[42],"Scholes":[44],"market/CIR":[45],"intensity-default":[46],"model,":[47],"consider":[49],"second":[51],"order":[52],"expansion":[53],"around":[54],"origin":[56],"vulnerable":[59],"call":[60],"option":[61],"with":[62,106],"respect":[63],"correlation":[66],"parameter":[67],"$$\\rho$$":[68],"<mml:math":[69],"xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"><mml:mi>\u03c1</mml:mi></mml:math>":[70],",":[71],"which":[72],"may":[73],"be":[74],"used":[75],"describe":[77],"wrong":[79],"way":[80],"risk":[81],"contract,":[84],"measuring":[85],"dependence":[87],"between":[88],"asset":[91],"price":[92],"option\u2019s":[95],"intensity.":[98],"Numerical":[99],"implementations":[100],"approach":[103],"compared":[105],"benchmark":[108],"Monte":[109],"Carlo":[110],"simulations.":[111]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2026-01-22T23:29:09.771500","created_date":"2025-10-10T00:00:00"}