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Counterparty risk and funding: immersion and beyond · Study

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ArticleCounterparty risk and funding: immersion and beyond

Stéphane Crépey2016

Article2016

Counterparty risk and funding: immersion and beyond

Stéphane Crépey · Shiqi Song

41 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1997Backward Stochastic Differential Equations in Finance 2019Semimartingale Theory and Stochastic Calculus 1993Hedging Contingent Claims with Constrained Portfolios 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 2013Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes 2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

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2020XVA analysis from the balance sheet 2023Numerical methods for backward stochastic differential equations: A survey 2015BSDEs of counterparty risk

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2020Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Frameworkarticle · 7 shared references 2017Arbitrage‐free XVAarticle · 7 shared references 2014A Lévy HJM multiple-curve model with application to CVA computationarticle · 6 shared references 2015BSDEs of counterparty riskarticle · 5 shared references 2012Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustmentspreprint · 4 shared references 2015Valuation and Hedging of Contracts with Funding Costs and Collateralizationarticle · 4 shared references

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Year2016

Typearticle

Published2016-07-15

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-016-0305-3

openalex_workW2289378561

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