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CVA and Wrong-Way Risk

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References

2006Risk management and financial institutions781 cited
2001Valuing Credit Default Swaps II341 cited
1995The impact of default risk on the prices of options and other derivative securities324 cited
2009Counterparty Credit Risk : The new challenge for global financial markets155 cited

Cited by

2013LIBOR vs. OIS: The Derivatives Discounting Dilemma100 cited
2015Valuation and Hedging of Contracts with Funding Costs and Collateralization62 cited
2014Collateral and credit issues in derivatives pricing35 cited
2016BOUNDING WRONG‐WAY RISK IN CVA CALCULATION28 cited
2021Analytical valuation of vulnerable European and Asian options in intensity-based models24 cited
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures23 cited

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