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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

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

A dynamic model of central counterparty risk

Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10011970904

Auditing treasury operations : risks and traps

Nogler, George; Jang, Inwon - In: The journal of corporate accounting & finance 24 (2012/13) 2, pp. 41-45

Persistent link: https://www.econbiz.de/10009714423

A simple method for measuring systemic risk using credit default swap market data

Suh, Sangwon; Jang, Inwon; Ahn, Misun - In: Journal of economic development 38 (2013) 4, pp. 75-100

Persistent link: https://www.econbiz.de/10010231840

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Bielecki, Tomasz R. - 2013

In "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model", the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in "A...

Persistent link: https://www.econbiz.de/10013089953