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A General Framework For Pricing Credit Risk


  • Alain BÉlanger
  • Steven E. Shreve
  • Dennis Wong


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  • Alain BÉlanger & Steven E. Shreve & Dennis Wong, 2004. "A General Framework For Pricing Credit Risk," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 317-350.
  • Handle: RePEc:bla:mathfi:v:14:y:2004:i:3:p:317-350

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    Cited by:

    1. Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015. "Dynamic credit investment in partially observed markets," Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
    2. Lijun Bo & Agostino Capponi, 2014. "Bilateral credit valuation adjustment for large credit derivatives portfolios," Finance and Stochastics, Springer, vol. 18(2), pages 431-482, April.
    3. Martin Keller-Ressel & Thorsten Schmidt & Robert Wardenga, 2018. "Affine processes beyond stochastic continuity," Papers 1804.07556,
    4. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893,, revised Aug 2016.
    5. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169,
    6. Frank Gehmlich & Thorsten Schmidt, 2015. "A generalized intensity based framework for single-name credit risk," Papers 1512.03896,
    7. Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.
    8. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198,, revised Nov 2017.
    9. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690,
    10. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851,, revised Jul 2015.
    11. Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.

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