CVA Computation for Counterparty Risk Assessment in Credit Portfolios-Reference-Cited by-同舟云学术

CVA Computation for Counterparty Risk Assessment in Credit Portfolios

Published:2012-09-07 Issue: Volume: Page:395-436
ISSN:
Container-title:Credit Risk Frontiers
language:
Short-container-title:

Author:

Assefa Samson,Bielecki Tomasz R.,Crépey Stéphane,Jeanblanc Monique

Publisher

John Wiley & Sons, Inc.

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781118531839.ch12/fullpdf

Reference26 articles.

1. Control of credit risk collateralization using quasi-variational inequalities;Aparicio;Journal of Computational Finance,2001

2. Basel Committee on Banking Supervision 2004 International convergence of capital measurement and capital standards. Bank for International Settlements, June

3. Bielecki , T. R. A. Cousin S. Crépey A. Herbertsson 2010 Pricing and hedging portfolio credit derivatives in a bottom-up model with simultaneous defaults. Working paper

4. A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds;Bielecki;Journal of Credit Risk,2008

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