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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
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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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Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B. - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
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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
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Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012270908