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CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

DURAND, CYRIL; RUTKOWSKI, MAREK - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350039-1

We propose a fairly general framework which allows one to perform Credit Value Adjustment (CVA) computations for a contract with bilateral counterparty risk in the presence of (a) systemic risk and (b) wrong-way or right-way risks. Our methodology focuses on the role of alternative settlement...

Persistent link: https://www.econbiz.de/10010883206

Defaultable options in a Markovian intensity model of credit risk

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518

Persistent link: https://www.econbiz.de/10003769008

An extension of the Brody-Hughston-Macrina approach to modeling of defaultable bonds

Rutkowski, Marek; Yu, Nannan - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 557-589

Persistent link: https://www.econbiz.de/10003463472

PDE approach to the valuation and hedging of basket credit derivatives

Rutkowski, Marek; Yousiph, Khan - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1261-1285

Persistent link: https://www.econbiz.de/10003632076

Valuation of basket credit derivatives in the credit migrations environment

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008

Persistent link: https://www.econbiz.de/10003567710

Assessing the Basel II internal ratings-based approach : empirical evidence from Australia

Tarca, Silvio; Rutkowski, Marek - In: Journal of financial regulation and compliance : an … 24 (2016) 2, pp. 106-139

Persistent link: https://www.econbiz.de/10011563824

Regulatory capital modeling for credit risk

Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44

Persistent link: https://www.econbiz.de/10011403880

Fair bilateral prices in Bergman’s model with exogenous collateralization

Nie, Tianyang; Rutkowski, Marek - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011404379

Multiple ratings model of defaultable term structure

Bielecki, Tomasz R.; Rutkowski, Marek - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 125-139

Persistent link: https://www.econbiz.de/10002177192

Modeling and valuation of credit risk

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004

Persistent link: https://www.econbiz.de/10002526431