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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
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Collateralized CVA valuation with rating triggers and credit migrations
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10009748715
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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CVA under alternative settlement conventions and with systemic risk
Durand, Cyril; Rutkowski, Marek - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10010233319
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Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
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Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
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Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
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Counterparty risk for Credit Default Swap with states related default intensity processes
Tang, Dan; Wang, Yongjin; Zhou, Yuzhen - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993