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Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties

Andersen, Leif; Dickinson, Andrew - In: The journal of financial market infrastructures 7 (2019) 4, pp. 27-70

Persistent link: https://www.econbiz.de/10012104989

Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework

Li, David; Cheruvelil, Roy M. - In: The journal of financial market infrastructures 8 (2019) 1, pp. 51-92

Persistent link: https://www.econbiz.de/10012373185

xVA : definition, evaluation and risk management

Wu, Lixin; Zhang, Dawei - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012270895

Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)

Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125

Persistent link: https://www.econbiz.de/10012042220

Procyclicality of central counterparty margin models : systemic problems need systemic approaches

Gurrola-Perez, Pedro - In: The journal of financial market infrastructures 10 (2021) 1, pp. 23-55

Persistent link: https://www.econbiz.de/10014335781

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Schönbucher, Philipp J. - 2000

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10010317645