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Counterparty risk for CDS: Default clustering effects · Study

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ArticleCounterparty risk for CDS: Default clustering effects

Lijun Bo2014

OA

Articlegreen2014

Counterparty risk for CDS: Default clustering effects

Lijun Bo · Agostino Capponi

17 citations·0/0 files stored·Journal of Banking & Finance

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

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References

2007Brownian Motion and Stochastic Calculus 1991Brownian motion and stochastic calculus 2004Credit Risk: Modeling, Valuation and Hedging 2007Common Failings: How Corporate Defaults Are Correlated 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations 2013Handbook on Systemic Risk 2018Exploring the sources of default clustering 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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2013Pricing and Mitigation of Counterparty Credit Exposureschapter · 7 shared references 2011VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODELarticle · 6 shared references 2013Dynamic Hedging of Counterparty Exposurechapter · 5 shared references 2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Riskother · 5 shared references 2013Bilateral credit valuation adjustment for large credit derivatives portfoliosarticle · 5 shared references 2011Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lendingpreprint · 5 shared references

Details

Year2014

Typearticle

Published2014-12-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations17

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2014.11.010

openalex_workW1978434739

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