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Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model

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References

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Cited by

2008Systematic equity-based credit risk: A CEV model with jump to default42 cited
2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations31 cited
2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk29 cited
2015

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COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

27 cited

2005Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation.27 cited