CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions
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References listed on IDEAS
- Gary Gorton, 2009. "The Subprime Panic," European Financial Management, European Financial Management Association, vol. 15(1), pages 10-46.
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- Robert A. Jarrow & Fan Yu, 2008.
"Counterparty Risk and the Pricing of Defaultable Securities,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515
World Scientific Publishing Co. Pte. Ltd..
- Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
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- Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
- repec:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500019 is not listed on IDEAS
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