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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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    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. 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 1-29.
    3. 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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    Cited by:

    1. Matteo Michielon & Asma Khedher & Peter Spreij, 2021. "Liquidity-free implied volatilities: an approach using conic finance," Papers 2110.11718, arXiv.org.

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