Credit, funding, margin, and capital valuation adjustments for bilateral portfolios-Reference-Cited by-同舟云学术

Credit, funding, margin, and capital valuation adjustments for bilateral portfolios

Published:2017-06-26 Issue:1 Volume:2 Page:
ISSN:2367-0126
Container-title:Probability, Uncertainty and Quantitative Risk
language:en
Short-container-title:Probab Uncertain Quant Risk

Author:

Albanese Claudio,Caenazzo Simone,Crépey Stéphane

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

General Medicine

Link

http://link.springer.com/content/pdf/10.1186/s41546-017-0019-2.pdf

Reference24 articles.

1. Albanese, C, Andersen, L: Accounting for OTC derivatives: Funding adjustments and the re-hypothecation option (2014). ssrn:2482955.

2. Albanese, C, Andersen, L, Iabichino, S: FVA: Accounting and risk management (2015). Risk Magazine, February 64–68.

3. Albanese, C, Bellaj, T, Gimonet, G: Pietronero G: Coherent global market simulations and securitization measures for counterparty credit risk. Quant Finance. 11(1), 1–20 (2011).

4. Albanese, C, Brigo, D, Oertel, F: Restructuring counterparty credit risk. Int. J. Theor. Appl. Finance. 16(2), 1350010 (29 pages) (2013).

5. Albanese, C, Crépey, S: XVA analysis from the balance sheet (2017). Working paper available at https://math.maths.univ-evry.fr/crepey . Accessed 7 June 2017.

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