A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements-Reference-Cited by-同舟云学术

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A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements

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

Author:

Brigo Damiano,Masetti Massimo

Publisher

Elsevier BV

Reference9 articles.

1. Credit: The Complete Guide to Pricing, Hedging and Risk Management;A Arvanitis;Risk Books,2001

2. Credit Default Swaps Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model;D Brigo;Finance and Stochastic,2005

3. Interest Rate Models Theory and Practice

4. Approximated moment-matching dynamics for basket-options pricing;D Brigo;Quantitative Finance,2003

Cited by 10 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. References;The xVA Challenge;2020-05-04

2. Computing valuation adjustments for counterparty credit risk using a modified supervisory approach;Review of Derivatives Research;2020-01-14

3. Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts;Insurance: Mathematics and Economics;2018-07

4. Quantitative Assessment of Common Practice Procedures in the Fair Evaluation of Embedded Options in Insurance Contracts;SSRN Electronic Journal;2016

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

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