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Counterparty Credit Risk and Credit Value Adjustment · Study

BookCounterparty Credit Risk and Credit Value Adjustment

Jon Gregory2012

Book2012

Counterparty Credit Risk and Credit Value Adjustment

101 citations·0/0 files stored·Wiley eBooks

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Credit Risk and Financial Regulations Stochastic processes and financial applications Risk Management in Financial Firms

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2013LIBOR vs. OIS: The Derivatives Discounting Dilemma 2018Safe Haven CDS Premiums 2016The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk 2012A Generalised CVA with Funding and Collateral 2016BOUNDING WRONG‐WAY RISK IN CVA CALCULATION 2017PDE models and numerical methods for total value adjustment in European and American options with counterparty risk 2016Does OTC Derivatives Reform Incentivize Central Clearing?2018Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

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Year2012

Typebook

Published2012-10-08

VenueWiley eBooks

Languageen

Citations101

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1002/9781118673638

openalex_workW4254873027

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