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Measuring and marking counterparty risk · Study

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ArticleMeasuring and marking counterparty risk

Eduardo Canabarro2003

Article2003

Measuring and marking counterparty risk

Eduardo Canabarro · Darrell Duffie

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Risk Management in Financial Firms

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1990Options, Futures, and Other Derivative Securities.1999Credit Swap Valuation 1996Swap Rates and Credit Quality 1999Of Smiles and Smirks: A Term Structure Perspective 2003Quantifying Credit Risk I: Default Prediction

Cited by

2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting 2011CVA Computation for Counterparty Risk Assessment in Credit Portfolios 2010Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults 2014Collateral and credit issues in derivatives pricing 2010Pricing counterparty risk at the trade level and credit valuation adjustment allocations 2013Bilateral credit valuation adjustment for large credit derivatives portfolios

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Year2003

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Published2003-01-01

Languageen

Citations73

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ShelfCredit Risk and Financial Regulations

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openalex_workW2118629210

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