Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk
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Publisher
John Wiley & Sons, Inc.
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781118531839.ch14/fullpdf
Reference40 articles.
1. Alavian , S. J. Ding P. Whitehead L. Laudicina 2009 Counterparty valuation adjustment (CVA). Working paper, available at www.defaultrisk.com
2. Assefa , S. T. Bielecki S. Crépey M. Jeanblanc 2009 CVA computation for counterparty risk assessment in credit portfolio . Preprint
3. Beumee , J. D. Brigo D. Schiemert G. Stoyle 2009 Charting a course through the CDS Big Bang. Fitch Solutions research report
4. Valuing corporate securities: Some effects of bond indenture provisions;Black;Journal of Finance,1976
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