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Credit value adjustment for credit default swaps via the structural default model

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References

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1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
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1983Displaced Diffusion Option Pricing247 cited
2002Optimal capital structure and endogenous default214 cited
2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
2019Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads149 cited

Cited by

2008Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps102 cited
2011CVA Computation for Counterparty Risk Assessment in Credit Portfolios55 cited
2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS48 cited

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2011VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL48 cited

2013Derivative pricing under asymmetric and imperfect collateralization and CVA43 cited

2012Precautionary measures for credit risk management in jump models42 cited

2010Coherent global market simulations and securitization measures for counterparty credit risk40 cited

2014METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES38 cited

2011Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models34 cited

2016MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS33 cited

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

2019Static and Semi-Static Hedging as Contrarian or Conformist Bets29 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