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The Oxford Handbook of Credit Derivatives
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The Oxford Handbook of Credit Derivatives (2011)The Oxford Handbook of Credit DerivativesThird-Party Credit Guarantees and the Cost of Debt: Evidence from Corporate Loans (2021)Third-Party Credit Guarantees…MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS (2016)MODERN MONETARY CIRCUIT THEOR…Efficient solution of structural default models with correlated jumps and mutual obligations (2015)Efficient solution of structu…Pricing credit default swaps with bilateral value adjustments (2013)Pricing credit default swaps …Derivative pricing under asymmetric and imperfect collateralization and CVA (2013)Derivative pricing under asym…Counterparty Contagion in Context: Contributions to Systemic Risk (2013)Counterparty Contagion in Con…Implied Default Probabilities and Recovery Rates from Option Prices (2011)Implied Default Probabilities…Collateralized CDS and Default Dependence - Implications for the Central Clearing (2011)Collateralized CDS and Defaul…Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA (2010)Derivative Pricing under Asym…Systemic Risk in Financial Systems (2001)Market Liquidity and Funding Liquidity (2008)Securitized banking and the run on repo (2011)Failure and Rescue in an Interbank Network (2012)Systemic Risk Components in a Network Model of Contagion (2012)Stability analysis of financial contagion due to overlapping portfolios (2014)The General Theory of Employment, Interest and Money. (1936)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Capital in the Twenty-First Century (2014)Dynamic clearing and contagion in financial networks (2024)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Integrated structural approach to Credit Value Adjustment (2018)Stochastic Differential Utility (1992)Swap Rates and Credit Quality (1996)Decomposing swap spreads (2008)Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme (2011)Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments (2011)Copula-Dependent Defaults in Intensity Models (2002)A General Formula for Valuing Defaultable Securities (2004)Pricing and Mitigation of Counterparty Credit Exposures (2013)Counterparty risk for CDS: Default clustering effects (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Strength of co-movement between sector CDS indexes and relationship with major economic and financial variables over time and during investment horizons (2016)Credit Cycles (1997)The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)Credit Spreads and Business Cycle Fluctuations (2012)Understanding Private Equity Funds: A Guide to Private Equity Research in Accounting (2022)Financial Sustainability in Agri-Food Companies: The Case of Members of the PDO Parma Ham Consortium (2023)Loan guarantees, bank underwriting policies and financial stability (2023)On the first hitting time density for a reducible diffusion process (2020)Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery (2021)An asymptotic expansion of forward-backward SDEs with a perturbed driver (2015)Pricing derivatives with counterparty risk and collateralization: A fixed point approach (2015)Arbitrage-free pricing of derivatives in nonlinear market models (2018)
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Cited by

  • 2013Derivative pricing under asymmetric and imperfect collateralization and CVA43 cited
  • 2021Third-Party Credit Guarantees and the Cost of Debt: Evidence from Corporate Loans41 cited
  • 2013Counterparty Contagion in Context: Contributions to Systemic Risk35 cited
  • 2016MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS33 cited
  • 2010Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA28 cited
  • 2013Pricing credit default swaps with bilateral value adjustments23 cited
  • 2011Collateralized CDS and Default Dependence - Implications for the Central Clearing21 cited
  • 2015Efficient solution of structural default models with correlated jumps and mutual obligations20 cited
  • 2011Implied Default Probabilities and Recovery Rates from Option Prices19 cited

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