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Credit default swaps with counterparty risk: a calibrated Markov model

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References

1999Modeling Term Structures of Defaultable Bonds2,547 cited
1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
2004Credit Risk Modeling530 cited
2000Valuing Credit Default Swaps I426 cited
2003Options, futures & other derivatives365 cited
2001Valuing Credit Default Swaps II341 cited
2005Extensions to the Gaussian copula: random recovery and random factor loadings336 cited

Cited by

2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations31 cited
2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk29 cited
2013Pricing and Mitigation of Counterparty Credit Exposures20 cited

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