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From credit valuation adjustments to credit capital commitments

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  • Dilip B. Madan

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  • Dilip B. Madan, 2012. "From credit valuation adjustments to credit capital commitments," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 839-845, April.
  • Handle: RePEc:taf:quantf:v:12:y:2012:i:6:p:839-845
    DOI: 10.1080/14697688.2012.682607
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    File URL: http://hdl.handle.net/10.1080/14697688.2012.682607
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    References listed on IDEAS

    as
    1. Damiano Brigo & Agostino Capponi, 2008. "Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps," Papers 0812.3705, arXiv.org, revised Nov 2009.
    2. Dilip Madan, 2012. "A two price theory of financial equilibrium with risk management implications," Annals of Finance, Springer, vol. 8(4), pages 489-505, November.
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