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CVA Computation for Counterparty Risk Assessment in Credit Portfolios

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References

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Cited by

2011VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL48 cited
2013Derivative pricing under asymmetric and imperfect collateralization and CVA43 cited
2010Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes40 cited
2021Credit Risk Management of Property Investments through Multi-Criteria Indicators

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36 cited

2014A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries35 cited

2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations31 cited

2013Dynamic Hedging of Counterparty Exposure29 cited

2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk29 cited

2010Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA28 cited

2012COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES25 cited

2012The Cost of Counterparty Risk and Collateralization in Longevity Swaps22 cited