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Credit, funding, margin, and capital valuation adjustments for bilateral portfolios

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References

2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
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2018Funding Value Adjustments187 cited
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2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration92 cited
2015Valuation and Hedging of Contracts with Funding Costs and Collateralization62 cited
2014Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks53 cited
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2016Counterparty risk and funding: immersion and beyond41 cited
2010Coherent global market simulations and securitization measures for counterparty credit risk40 cited
2014Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option25 cited

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