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Pricing and Mitigation of Counterparty Credit Exposures
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Pricing and Mitigation of Counterparty Credit Exposures (2013)Pricing and Mitigation of Counterparty Cr…Stress testing the resilience of financial networks (2012)Stress testing the resilience…BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2012)BILATERAL COUNTERPARTY RISK U…ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…Does a Central Clearing Counterparty Reduce Counterparty Risk? (2011)Does a Central Clearing Count…Systemic Risk: What Defaults Are Telling Us (2009)Systemic Risk: What Defaults …Credit value adjustment for credit default swaps via the structural default model (2009)Credit value adjustment for c…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …Assessing the Systemic Implications of Financial Linkages (2009)Assessing the Systemic Implic…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Credit Default Swap Valuation with Counterparty Risk (2005)Credit Default Swap Valuation…Credit contagion and aggregate losses (2005)Credit contagion and aggregat…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2004)Credit default swap calibrati…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityVALUING 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)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Financial Contagion (2000)The Economic Crisis is a Crisis for Economic Theory (2010)Firm-network characteristics and economic robustness to natural disasters (2011)Contagion and risk-sharing on the inter-bank market (2013)On cox processes and credit risky securities (1998)Interest Rate Models Theory and Practice (2001)Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Computational techniques for basic affine models of portfolio credit risk (2009)Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Pricing vulnerable options with stochastic volatility (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Affine Term Structure Models (2010)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Credit Contagion from Counterparty Risk (2009)Systemic Risk in Financial Systems (2001)Securities lending, shorting, and pricing (2002)Credit Default Swaps and the Credit Crisis (2010)Credit Default Swaps and the Empty Creditor Problem (2011)Bubbles, Financial Crises, and Systemic Risk (2013)Pricing Swap Default Risk (1994)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Handbook of Financial Engineering (2008)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2011Does a Central Clearing Counterparty Reduce Counterparty Risk?600 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 2004Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model163 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2009Credit value adjustment for credit default swaps via the structural default model151 cited
  • 2009Systemic Risk: What Defaults Are Telling Us148 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING130 cited
  • 2009Assessing the Systemic Implications of Financial Linkages104 cited
  • 2005Credit Default Swap Valuation with Counterparty Risk

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98 cited
  • 2012Stress testing the resilience of financial networks95 cited
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