From credit valuation adjustments to credit capital commitments

DOI10.1080/14697688.2012.682607MaRDI QIDQ2869975zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.682607

Mathematics Subject Classification ID

Credit risk (91G40)

Cites work

• A two price theory of financial equilibrium with risk management implications
• Capital requirements, acceptable risks and profits
• Coherent global market simulations and securitization measures for counterparty credit risk
• Coherent measures of risk
• Markets as a counterparty: an introduction to conic finance
• Restructuring counterparty credit risk
• Structured products equilibria in conic two price markets
• Tenor specific pricing
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• Weighted V\@R and its properties

Cited in

(1)

• Pricing American options by a Fourier transform multinomial tree in a conic market

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