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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

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

Bilateral counterparty risk under funding constraints - part II : CVA

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 23-50

Persistent link: https://www.econbiz.de/10011347256

Bilateral counterparty risk under funding constraints - part I : pricing

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011347260

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

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434

A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014

Persistent link: https://www.econbiz.de/10010359909

Counterparty risk and funding : a tale of two puzzles

Crépey, Stéphane; Bielecki, Tomasz R. - 2014

Preface Introduction The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely counterparty risk. This is the risk of non-payment of promised cash flows due to the default of a party in an over the counter (OTC) derivative...

Persistent link: https://www.econbiz.de/10010372728

The Whys of the LOIS : Credit Risk and Refinancing Rate Volatility

Douady, Raphael - 2012

The 2007 subprime crisis has induced a persistent disconnection between the LIBOR derivative markets of different tenors and the OIS swap market. Commonly proposed explanations for the corresponding spreads are a combination of credit risk and liquidity risk. However in these explanations the...

Persistent link: https://www.econbiz.de/10013103141