Collateralized CDS and Default Dependence
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References listed on IDEAS
- Dai Pra, Paolo & Tolotti, Marco, 2009.
"Heterogeneous credit portfolios and the dynamics of the aggregate losses,"
Stochastic Processes and their Applications,
Elsevier, vol. 119(9), pages 2913-2944, September.
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- Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
- Cont Rama & Kokholm Thomas, 2014. "Central clearing of OTC derivatives: Bilateral vs multilateral netting," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-20, March.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
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