Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Collateralized CDS and Default Dependence - Implications for the Central Clearing

12 references·2 citing·42 second hop

FromToDepth

this work references cited by second hop

References

1996Swap Rates and Credit Quality480 cited
2002Copula-Dependent Defaults in Intensity Models302 cited
2004A General Formula for Valuing Defaultable Securities181 cited
2007The Impact of Collateralization on Swap Rates126 cited
2009A Note on Construction of Multiple Swap Curves with and without Collateral87 cited
2011A Market Model of Interest Rates With Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies54 cited
2000A Libor Market Model with Default Risk49 cited
2001A Libor Market Model with Default Risk46 cited
2011Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity45 cited
2011The Oxford Handbook of Credit Derivatives43 cited
2010Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA28 cited
2011ISDA (Institutional Swap Dealers Association)26 cited

Cited by

2013Pricing and Mitigation of Counterparty Credit Exposures20 cited
2014Counterparty risk for CDS: Default clustering effects17 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work