Bilateral credit valuation adjustment for large credit derivatives portfolios

Author:

Bo Lijun,Capponi Agostino

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference32 articles.

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2. Andersen, L., Jäckel, P., Kahl, C.: Simulation of square-root processes. In: Cont, R. (ed.) Encyclopedia of Quantitative Finance, pp. 1642–1649. Wiley, New York (2010)

3. Assefa, S., Bielecki, T., Crépey, S., Jeanblanc, M.: CVA computation for counterparty risk assessment in credit portfolios. In: Bielecki, T., Brigo, D., Patras, F. (eds.) Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, pp. 397–435. Wiley, New York (2009)

4. Atlan, M., Leblanc, B.: Time-changed Bessel processes and credit risk. arXiv:math/0604305 (2006)

5. Committee, B.: A global regulatory framework for more resilient banks and banking systems. Report (2010). http://www.bis.org/publ/bcbs189.htm

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