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- adjustments for counterparty credit risk using a modified supervisory approach 2020-11-10 Paper Quantifying market risk with value-at-risk or expected shortfall...10 bytes (16 words) - 12:11, 7 October 2023
- NAMES 2014-07-17 Paper Counterparty Credit Risk, Collateral and Funding 2014-05-27 Paper ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION...10 bytes (16 words) - 12:32, 24 September 2023
- 2015-02-27 Paper Bilateral counterparty risk valuation on a CDS with a common shock model 2014-12-05 Paper On a reduced form credit risk model with common shock...10 bytes (17 words) - 00:43, 9 December 2023
- Model of Portfolio Credit Risk. Part I: Markov Copula Perspective 2015-06-19 Paper A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock...10 bytes (19 words) - 00:39, 9 December 2023
- BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 2014-04-23 Paper PRICING COUNTERPARTY RISK INCLUDING...10 bytes (16 words) - 01:58, 12 December 2023
- with Jump Risk 2021-08-02 Paper Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives 2020-09-09 Paper Risk-Sensitive...10 bytes (17 words) - 15:32, 11 December 2023
- of kth-to-default credit-linked notes with counterparty risk in a reduced-form model 2023-06-27 Paper Indifference pricing of credit default swaps in a...10 bytes (17 words) - 23:19, 11 December 2023
- pricing CDS with counterparty risk 2012-09-12 Paper INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS...10 bytes (17 words) - 14:45, 10 December 2023
- information and counterparty risk 2015-01-19 Paper Optimal investment with counterparty risk: a default-density model approach 2014-12-18 Paper Credit Derivatives...10 bytes (16 words) - 03:47, 12 December 2023
- effect and valuation of credit default swap 2008-09-01 Paper https://portal.mardi4nfdi.de/entity/Q3517820 2008-08-06 Paper Valuing credit derivatives in a jump-diffusion...10 bytes (17 words) - 04:39, 13 December 2023
- EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS 2015-01-21 Paper Parameter Estimation in Credit Models Under Incomplete Information...10 bytes (16 words) - 15:34, 12 December 2023
- 2017-06-02 Paper Counterparty risk and funding: immersion and beyond 2016-10-27 Paper Reduced-Form Modeling of Counterparty Risk on Credit Derivatives 2015-10-21...10 bytes (16 words) - 10:39, 6 October 2023
- Date of Publication Type Total return swap valuation with counterparty risk and interest rate risk 2019-02-14 Paper The dynamic spread of the forward CDS...10 bytes (17 words) - 06:12, 12 December 2023
- Paper Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks 2018-05-29 Paper Numerical algorithms for Panjer...10 bytes (17 words) - 17:42, 11 December 2023
- Valuation of Credit Risk 2014-08-08 Paper Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model...10 bytes (18 words) - 16:10, 10 December 2023
- 2021-08-19 Paper Double-layer network model of bank-enterprise counterparty credit risk contagion 2021-02-02 Paper https://portal.mardi4nfdi.de/entity/Q5144867...10 bytes (17 words) - 18:16, 13 December 2023
- INTENSITY MODEL OF CREDIT RISK 2011-06-09 Paper Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives 2011-05-31...10 bytes (18 words) - 20:00, 11 December 2023
- default probability under a structural credit risk model with jumps 2013-02-21 Paper Unilateral counterparty risk valuation for CDS under a regime switching...10 bytes (16 words) - 13:53, 6 October 2023
- portfolio allocation with volatility and co-jump risk that Markowitz would like 2018-11-16 Paper Credit risk in an economy with new firms arrivals 2018-03-28...10 bytes (16 words) - 16:03, 11 December 2023
- DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES 2013-10-21 Paper COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES 2012-11-22 Paper...10 bytes (16 words) - 05:09, 13 December 2023
