Coherent global market simulations and securitization measures for counterparty credit risk
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 11 (2011)
Issue (Month): 1 ()
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- Albanese, Claudio & Brigo, Damiano & Oertel, Frank, 2013.
"Restructuring counterparty credit risk,"
14/2013, Deutsche Bundesbank, Research Centre.
- Claudio Albanese & Damiano Brigo & Frank Oertel, 2013. "Restructuring Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1350010-1-1.
- Marco Bardoscia & Giacomo Livan & Matteo Marsili, 2012. "Financial instability from local market measures," Papers 1207.0356, arXiv.org, revised Sep 2012.
- Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
- Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2531-2548.
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