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Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.

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Credit derivatives and bank credit supply

Hirtle, Beverly J. - In: Journal of financial intermediation 18 (2009) 2, pp. 125-150

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Credit default swaps and financial stability : risks and regulatory issues

Duquerroy, Anne; Gex, Mathieu; Gauthier, Nicolas - In: Financial stability review : FSR 13 (2009), pp. 75-88

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Credit derivatives and bank credit supply

Hirtle, Beverly J. (contributor) - 2007

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Credit risk management : rationing vs credit derivatives and consequences for financial stability

Vanacore, Stefania - In: Advances in monetary policy and macroeconomics, (pp. 66-91). 2007

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Die Prüfung von Kreditderivaten

Auerbach, Dirk; Pache, Stephan - In: Prüfung des Kreditgeschäfts durch die Interne …, (pp. 616-663). 2007

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Synthetic CDO pricing : the perspective of risk integration

Hu, Conghui; Zhang, Xun; Gao, Qiuming - In: Applied economics 47 (2015) 13/15, pp. 1574-1587

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The xVA challenge : counterparty credit risk, funding, collateral, and capital

Gregory, Jon - 2015 - 3. ed.

derivative products. Regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is …

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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

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Equity default swaps and the securitisation of risk

Logie, Michael J.; Castagnino, John-Peter - In: Securitisation of derivatives and alternative asset …, (pp. 89-115). 2005

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