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- and counterparty risk 2015-01-19 Paper Understanding, modelling and managing longevity risk: key issues and main challenges 2013-12-13 Paper Credit risk...10 bytes (16 words) - 01:27, 11 December 2023
- multi-curve models with counterparty-risk valuation adjustments 2021-07-16 Paper Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives 2018-10-22...10 bytes (18 words) - 03:37, 25 September 2023
- Hedging of Reinsurance Counterparty Risk 2020-09-28 Paper Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives 2020-09-09...10 bytes (16 words) - 07:51, 9 December 2023
- Process and Its Application to the Valuation of Credit Risk 2014-08-08 Paper Unilateral counterparty risk valuation of CDS using a regime-switching intensity...10 bytes (16 words) - 15:30, 6 October 2023
- Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk 2023-06-22 Paper A new calibration of the Heston stochastic local...10 bytes (20 words) - 13:55, 10 December 2023
- formula for pricing bilateral counterparty risk of CDS with correlated credit risks 2018-05-29 Paper Worst-Case Range Value-at-Risk with Partial Information...10 bytes (17 words) - 10:32, 11 December 2023
- Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model 2023-06-27 Paper Basket credit derivative pricing in a Markov...10 bytes (16 words) - 10:04, 25 September 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 (16 words) - 10:41, 5 September 2024
- interest rate risk 2020-04-07 Paper Total return swap valuation with counterparty risk and interest rate risk 2019-02-14 Paper The pricing of credit risky securities...10 bytes (16 words) - 08:58, 6 October 2023
- of an inverse first-passage time problem for Lévy processes and counterparty credit risk 2015-10-20 Paper The distribution of the supremum for spectrally...10 bytes (18 words) - 02:12, 9 December 2023
- internal risk measure estimates 2016-12-16 Paper Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk...10 bytes (21 words) - 01:55, 12 December 2023
- impact of different correlation approaches on valuing credit default swaps with counterparty risk 2014-03-04 Paper...10 bytes (16 words) - 12:37, 14 March 2024
- impact of different correlation approaches on valuing credit default swaps with counterparty risk 2014-03-04 Paper...10 bytes (16 words) - 12:37, 14 March 2024
- Publication Date of Publication Type COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION 2010-01-08 Paper Lévy...10 bytes (16 words) - 17:09, 24 September 2023
- into practice 2022-08-19 Paper Computing valuation adjustments for counterparty credit risk using a modified supervisory approach 2020-11-10 Paper https://portal...10 bytes (16 words) - 01:07, 25 September 2023
- commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods 2022-08-19 Paper Closed-form...10 bytes (16 words) - 01:55, 25 September 2023
- phase space 2014-10-13 Paper Bivariate Semi-Markov Process for Counterparty Credit Risk 2014-06-11 Paper A semi-Markov modulated interest rate model 2014-02-11...10 bytes (17 words) - 17:44, 6 October 2023
- Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk 2023-06-22 Paper On a Neural Network to Extract Implied Information...10 bytes (16 words) - 19:05, 24 September 2023
- 2022-12-09 Paper Bank multiplex networks and systemic risk 2022-08-10 Paper Risk contagion in inter-firm credit guarantee network 2022-08-02 Paper Effects of fundamentals...10 bytes (16 words) - 19:01, 6 October 2023
- Publication Date of Publication Type Analytical expressions to counterparty credit risk exposures for interest rate derivatives 2022-04-14 Paper https://portal...10 bytes (16 words) - 01:59, 25 September 2023
