Counterparty credit risk and derivatives pricing
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference38 articles.
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3. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973
4. Counterparty Credit Risk in Interest Rate swaps During Times of Market Stress;Bomfim,2002
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1. The financial health of a company and the risk of its default: Back to the future;International Review of Financial Analysis;2024-10
2. Pricing vulnerable spread options with liquidity risk under Lévy processes;The North American Journal of Economics and Finance;2024-05
3. Counterparty Risk and Counterparty Choice in the Credit Default Swap Market;Management Science;2023-08-02
4. Counterparty Risk Contagion Model of Carbon Quota Based on Asset Price Reduction;Sustainability;2023-07-21
5. Structural estimation of counterparty credit risk under recovery risk;Journal of Banking & Finance;2022-07
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