Funding and Credit Risk with Locally Elliptical Portfolio Processes: An Application to CCPs-Reference-Cited by-同舟云学术

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Funding and Credit Risk with Locally Elliptical Portfolio Processes: An Application to CCPs

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andersen Leif B.G.,Dickinson Andrew Samuel

Publisher

Elsevier BV

Reference29 articles.

1. Funding value adjustments;L Andersen;The Journal of Finance,2018

2. Credit exposure in the presence of initial margin;L Andersen;SSRN Working Paper,2017

3. Central clearing valuation adjustment;Y Armenti;SIAM Journal on Financial Mathematics,2017

4. Quantiication of central counterparty risk;M Arnsdorf;Journal of Risk Management in Financial Institutions,2012

Cited by 3 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. Reshaping the Financial Network: Externalities and Redistribution Effects in Central Clearing;SSRN Electronic Journal;2019

2. Central Counterparty CVA;SSRN Electronic Journal;2018

3. MVA: Future IM for Client Trades & Dynamic Hedges;SSRN Electronic Journal;2018

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