Counterparty risk and funding: Immersion and beyond
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Cited by:
- Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," Papers 1503.07007, arXiv.org, revised Sep 2015.
- Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CARF F-Series CARF-F-360, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2015.
- Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CIRJE F-Series CIRJE-F-963, CIRJE, Faculty of Economics, University of Tokyo.
- Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.
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More about this item
Keywords
dynamic copulas; Counterparty risk; funding; reduced-form credit modeling; BSDE; immersion; invariant times; wrong-way risk; gap risk; collateral; credit derivatives;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-08-25 (Risk Management)
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