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Counterparty Credit Risk
3 references·3 citing·18 second hop
Counterparty Credit Risk (2010)Counterparty Credit RiskCredit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Credit: The Complete Guide to Pricing, Hedging and Risk Management (2001)Credit: The Complete Guide to…On Default Correlation (2000)On Default CorrelationDisentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Disentangling wrong-way risk:…Static models of central counterparty risk (2015)Static models of central coun…Pricing Counterparty Risk at the Trade Level and CVA Allocations (2010)Pricing Counterparty Risk at …On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Arbitrage Theory in Continuous Time (1998)Interest Rate Models Theory and Practice (2001)Arbitrage Theory in Continuous Time (2004)Monte Carlo Methods in Financial Engineering (2003)Market Liquidity and Funding Liquidity (2008)Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (2018)Affine processes for dynamic mortality and actuarial valuations (2005)Sampling nested Archimedean copulas (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Copula sensitivity in collateralized debt obligations and basket default swaps (2003)Modeling and Valuation of Credit Risk (2004)Fast Pricing of Basket Default Swaps (2007)
this work references cited by second hop

References

  • 2000On Default Correlation1,257 cited
  • 2003Credit Derivatives Pricing Models366 cited
  • 2001Credit: The Complete Guide to Pricing, Hedging and Risk Management74 cited

Cited by

  • 2010Pricing Counterparty Risk at the Trade Level and CVA Allocations26 cited
  • 2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures23 cited
  • 2015Static models of central counterparty risk23 cited

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