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Credit Valuation Adjustment (CVA)
4 references·0 citing·15 second hop
Credit Valuation Adjustment (CVA) (2008)Credit Valuation Adjustment (CVA)Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Counterparty credit risk modelling : risk management, pricing and regulation (2005)Counterparty credit risk mode…Measuring and marking counterparty risk (2003)Measuring and marking counter…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Options, Futures, and Other Derivative Securities. (1990)Swap Rates and Credit Quality (1996)Credit Swap Valuation (1999)Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010)Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011)CVA Computation for Counterparty Risk Assessment in Credit Portfolios (2011)Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations (2009)Short-Rate Pricing After the Liquidity and Credit Shocks: Including the Basis (2010)Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)
this work references cited by second hop

References

  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 2003Measuring and marking counterparty risk73 cited
  • 2005Counterparty credit risk modelling : risk management, pricing and regulation34 cited

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