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An equilibrium pricing for OTC derivatives with non-cash collateralisation
Takino, Kazuhiro - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 335-364
Persistent link: https://www.econbiz.de/10011996895
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Debt collateralization and maximal leverage
Gong, Feixue; Phelan, Gregory - 2015
Persistent link: https://www.econbiz.de/10011333092
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Debt collateralization, capital structure, and maximal leverage
Gong, Feixue; Phelan, Gregory - In: Economic theory : official journal of the Society for … 70 (2020) 2, pp. 579-605
Persistent link: https://www.econbiz.de/10012306395
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Debt collateralization, capital structure, and maximal Leverage
Gong, Feixue; Phelan, Gregory - 2019 - This version: July 31, 2019
Persistent link: https://www.econbiz.de/10012116220
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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003320531
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Affine pricing and hedging of collateralized debt obligations
Eksia, Zehra; Filipović, Damir - 2020
Persistent link: https://www.econbiz.de/10012419633
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A set-valued Markov chain approach to credit default
Chen, Dianfa; Deng, Jun; Feng, Jianfen; Zou, Bin - In: Quantitative finance 20 (2020) 4, pp. 669-689
Persistent link: https://www.econbiz.de/10012194914
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Chapter 20. Credit Derivatives
Hull, John; White, Alan - 2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...
Persistent link: https://www.econbiz.de/10014025358
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
Fujii, Masaaki - 2011
(CVA), and the collateral cost adjustment (CCA) independent from the credit risk. We have studied each term closely, and … this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is … asymmetric and imperfect collateralization with the associated counter party credit risk. By introducing the collateral coverage …
Persistent link: https://www.econbiz.de/10013131969