Measuring Counterparty Credit Exposure to a Margined Counterparty-Reference-Cited by-同舟云学术

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Measuring Counterparty Credit Exposure to a Margined Counterparty

Published:2005 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Gibson Michael S.

Publisher

Elsevier BV

Reference6 articles.

1. Measuring and marking counterparty risk;Eduardo Canabarro;Asset/Liability Management of Financial Institutions,2003

2. Analysing counterparty risk;Eduardo Canabarro;Risk,2003

3. ISDA's Response To The Basel Committee On Banking Supervision's Consultation On The New Capital Accord;International Swaps and Derivatives Association,2001

4. ISDA Margin Survey;International Swaps and Derivatives Association,2005

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Explicit expressions to counterparty credit exposures for Forward and European Option;The North American Journal of Economics and Finance;2020-04

2. Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options;The Journal of Credit Risk;2020

3. Rethinking Margin Period of Risk;SSRN Electronic Journal;2016

4. References;Counterparty Credit Risk and Credit Value Adjustment;2013-04-15

5. CVA Computation for Counterparty Risk Assessment in Credit Portfolios;Credit Risk Frontiers;2012-09-07

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