WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298): Difference between revisions

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+Q4657105
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+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+Interest rate models -- theory and practice. With smile, inflation and credit
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+Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
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+PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
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+Counterparty Credit Risk, Collateral and Funding
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+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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+Modelling, pricing, and hedging counterparty credit exposure. A technical guide
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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+Counterparty risk and funding: immersion and beyond
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+Invariance Properties in the Dynamic Gaussian Copula Model
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+INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
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+DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
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+Conic martingales from stochastic integrals
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+On Cox processes and credit risky securities
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+Valuation of portfolio credit derivatives with default intensities using the Vasicek model
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+An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES
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+Time-changed CIR default intensities with two-sided mean-reverting jumps
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+Stochastic calculus for finance. II: Continuous-time models.
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+https://doi.org/10.1142/s0219024917500455
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+W2758035245
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