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In particular, in a Black and Scholes market\/CIR intensity-default model, we consider a second order expansion around the origin of a vulnerable call option with respect to a correlation parameter<jats:inline-formula><jats:alternatives><jats:tex-math>$$\\rho$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\"><mml:mi>\u03c1<\/mml:mi><\/mml:math><\/jats:alternatives><\/jats:inline-formula>, which may be used to describe the wrong way risk of the contract, measuring the dependence between the underlying asset price and the option\u2019s issuer default intensity. Numerical implementations of this approach are compared with the benchmark Monte Carlo simulations.<\/jats:p>","DOI":"10.1007\/s10287-023-00480-0","type":"journal-article","created":{"date-parts":[[2023,10,16]],"date-time":"2023-10-16T14:02:06Z","timestamp":1697464926000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Wrong Way Risk corrections to CVA in CIR reduced-form models"],"prefix":"10.1007","volume":"20","author":[{"given":"Fabio","family":"Antonelli","sequence":"first","affiliation":[]},{"given":"Alessandro","family":"Ramponi","sequence":"additional","affiliation":[]},{"given":"Sergio","family":"Scarlatti","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2023,10,16]]},"reference":[{"key":"480_CR1","volume-title":"Affine diffusions and related processes: simulation, theory and applications","author":"A Alfonsi","year":"2015","unstructured":"Alfonsi A (2015) Affine diffusions and related processes: simulation, theory and applications. 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