From credit valuation adjustments to credit capital commitments

DOI10.1080/14697688.2012.682607zbMATH Open1279.91173OpenAlexW3124251779MaRDI QIDQ2869975FDOQ2869975

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

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

Cited In (1)

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

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