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Pricing Counterparty Risk at the Trade Level and CVA Allocations
3 references·1 citing·11 second hop
Pricing Counterparty Risk at the Trade Level and CVA Allocations (2010)Pricing Counterparty Risk at the Trade Le…Counterparty Credit Risk (2010)Counterparty Credit RiskCredit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Credit: The Complete Guide to Pricing, Hedging and Risk Management (2001)Credit: The Complete Guide to…Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (2018)Nonlinear valuation under cre…On Default Correlation (2000)Static models of central counterparty risk (2015)Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Backward Stochastic Differential Equations in Finance (1997)Stochastic differential equations and their applications (1997)Credit Risk: Modeling, Valuation and Hedging (2004)Affine processes for dynamic mortality and actuarial valuations (2005)Sampling nested Archimedean copulas (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Copula sensitivity in collateralized debt obligations and basket default swaps (2003)Modeling and Valuation of Credit Risk (2004)
this work references cited by second hop

References

  • 2003Credit Derivatives Pricing Models366 cited
  • 2001Credit: The Complete Guide to Pricing, Hedging and Risk Management74 cited
  • 2010Counterparty Credit Risk37 cited

Cited by

  • 2018Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement21 cited

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