Work2011

CVA Computation for Counterparty Risk Assessment in Credit Portfolios

Samson Assefa · Tomasz R. Bielecki · Stéphane Crépey · Monique Jeanblanc

55 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

This chapter contains sections titled: Introduction General Counterparty Risk Counterparty Credit Risk Multivariate Markovian Default Model Numerical Results Acknowledgments Notes

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 55 citations exist upstream.

References

2010Basel Committee On Banking Supervision 2004Credit Risk: Modeling, Valuation and Hedging 2001Risk and Valuation of Collateralized Debt Obligations 2005The Mathematics of Arbitrage 2006The Mathematics of Arbitrage 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION 2009Credit value adjustment for credit default swaps via the structural default model 2009Being Two-Faced Over Counterparty Credit Risk

Cited by

2011VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL 2013Derivative pricing under asymmetric and imperfect collateralization and CVA 2010Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes 2021Credit Risk Management of Property Investments through Multi-Criteria Indicators 2014A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries 2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.