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Measuring and marking counterparty risk

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References

1990Options, Futures, and Other Derivative Securities.1,227 cited
1999Credit Swap Valuation636 cited
1996Swap Rates and Credit Quality480 cited
1999Of Smiles and Smirks: A Term Structure Perspective371 cited
2003Quantifying Credit Risk I: Default Prediction317 cited

Cited by

2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting70 cited
2011CVA Computation for Counterparty Risk Assessment in Credit Portfolios55 cited
2010Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults53 cited
2014Collateral and credit issues in derivatives pricing35 cited
2010Pricing counterparty risk at the trade level and credit valuation adjustment allocations27 cited
2013Bilateral credit valuation adjustment for large credit derivatives portfolios26 cited
2008Credit Valuation Adjustment (CVA)21 cited
2013Pricing and Mitigation of Counterparty Credit Exposures20 cited
2005Measuring Counterparty Credit Exposure to a Margined Counterparty20 cited

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