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Credit Risk Modeling
1 references·4 citing·19 second hop
Credit Risk Modeling (2013)Credit Risk ModelingCredit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Disentangling wrong-way risk:…Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (2016)Analysis of Nonlinear Valuati…BSDEs of counterparty risk (2015)BSDEs of counterparty riskLocal Risk-Minimization for Defaultable Claims with Recovery Process (2011)Local Risk-Minimization for D…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)Backward Stochastic Differential Equations in Finance (1997)Limit Theorems for Stochastic Processes (2003)Hedging of contingent claims under incomplete information (1990)A Guided Tour through Quadratic Hedging Approaches (2010)The Föllmer–Schweizer decomposition: Comparison and description (2010)Optional splitting formula in a progressively enlarged filtration (2014)Adapted solution of a backward stochastic differential equation (1990)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)BSDEs with Default Jump (2018)Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (2018)Arbitrage Theory in Continuous Time (1998)Interest Rate Models Theory and Practice (2001)Arbitrage Theory in Continuous Time (2004)
this work references cited by second hop

References

  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited

Cited by

  • 2015BSDEs of counterparty risk27 cited
  • 2011Local Risk-Minimization for Defaultable Claims with Recovery Process27 cited
  • 2016Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects23 cited
  • 2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures23 cited

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