Author:
Blanchet-Scalliet Christophette,Patras Frédéric
Reference29 articles.
1. Bank for International Settlements 1998 OTC derivatives: Settlement procedures and counterparty risk management. Basel (September)
2. Basel Committee on Banking Supervision 2005 The application of Basel II to trading activities and the treatment of double default effects. (July)
3. Valuing corporate securities: Some effects of bond indenture provisions;Black;Journal of Finance,1976
Cited by
4 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. EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS;International Journal of Theoretical and Applied Finance;2016-11
2. Collateralized Borrowing and Default Risk;Springer Proceedings in Mathematics & Statistics;2016
3. Wrong Way Risk Done Right;SSRN Electronic Journal;2015
4. VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL;International Journal of Theoretical and Applied Finance;2012-02