Allouch, Nizar; Jalloul, Maya; Duncan, Alfred Strategic default in financial networks. (English) Zbl 1530.91590 Games Econ. Behav. 142, 941-954 (2023). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Kim, Donghyun; Yoon, Ji-Hun Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk. (English) Zbl 1519.91262 Japan J. Ind. Appl. Math. 40, No. 2, 985-1013 (2023). MSC: 91G20 91G40 44A10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhi, Kangquan; Qian, Xiaosong; Xie, Ayu Valuation of \(k\)th-to-default credit-linked notes with counterparty risk in a reduced-form model. (English) Zbl 07702521 Commun. Stat., Theory Methods 52, No. 8, 2514-2537 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Xingchun Pricing vulnerable options with jump risk and liquidity risk. (English) Zbl 1479.91419 Rev. Deriv. Res. 24, No. 3, 243-260 (2021). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Bo, Lijun; Liu, Yanchu; Zhang, Tingting Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing. (English) Zbl 1479.91371 Quant. Finance 21, No. 7, 1187-1206 (2021). MSC: 91G15 91G45 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Xinfu; He, Peng; Liu, Jing; Zhao, Shuai Mathematical analysis of a credit default swap with counterparty risks. (English) Zbl 1505.91377 Eur. J. Appl. Math. 31, No. 5, 737-762 (2020). MSC: 91G20 91G40 35A02 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Jin; Zou, Hongchun Valuation of credit contingent interest rate swap with credit rating migration. (English) Zbl 1483.91254 Int. J. Comput. Math. 97, No. 12, 2546-2560 (2020). MSC: 91G60 65M06 91G20 91G30 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V.; Jeanblanc, Monique Credit default swaps in two-dimensional models with various informations flows. (English) Zbl 1444.91217 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050010, 28 p. (2020). Reviewer: George Stoica (Saint John) MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane XVA metrics for CCP optimization. (English) Zbl 1459.91211 Stat. Risk. Model. 37, No. 1-2, 25-53 (2020). MSC: 91G40 91G10 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Yan, Li; Qin, Xiao’er Valuation of the stock loans with counterparty risk. (Chinese. English summary) Zbl 1424.91156 Math. Pract. Theory 48, No. 16, 18-22 (2018). MSC: 91G40 × Cite Format Result Cite Review PDF
Bo, Lijun; Capponi, Agostino Dynamic investment and counterparty risk. (English) Zbl 1395.91477 Appl. Math. Optim. 77, No. 1, 1-45 (2018). MSC: 91G40 60J20 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Xue; Dong, Yinghui; Chen, Yang Risk analysis of collateralized CDS under Markov copula model with regime switching and shot noise. (Chinese. English summary) Zbl 1399.91130 Chin. J. Appl. Probab. Stat. 33, No. 4, 385-407 (2017). MSC: 91G40 62M05 60G44 62H05 × Cite Format Result Cite Review PDF
Bonollo, Michele; Di Persio, Luca; Mammi, Luca; Oliva, Immacolata Estimating the counterparty risk exposure by using the Brownian motion local time. (English) Zbl 1367.91187 Int. J. Appl. Math. Comput. Sci. 27, No. 2, 435-447 (2017). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Armenti, Yannick; Crépey, Stéphane Central clearing valuation adjustment. (English) Zbl 1367.91185 SIAM J. Financ. Math. 8, 274-313 (2017). MSC: 91G40 91B25 91G20 91G70 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Huang, Yao Tung; Song, Qingshuo; Zheng, Harry Weak convergence of path-dependent SDEs in basket credit default swap pricing with contagion risk. (English) Zbl 1355.60077 SIAM J. Financ. Math. 8, 1-27 (2017). MSC: 60H10 60F05 60H30 60H35 60J60 91G40 91G80 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Xing; Hu, Guoqiang; Jiang, Jinliang System credit events and the valuation of credit default swaps. (Chinese. English summary) Zbl 1349.91298 Control Theory Appl. 33, No. 1, 47-53 (2016). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Xue A Markov copula model with regime switching and its application. (English) Zbl 1342.60127 Acta Math. Appl. Sin., Engl. Ser. 32, No. 1, 163-174 (2016). MSC: 60J27 60J28 91G40 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Pianeti, R.; Giacometti, R. Estimating the probability of multiple EU sovereign defaults using CDS and bond data. (English) Zbl 1398.91646 Quant. Finance 15, No. 1, 61-78 (2015). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Mohd Ramli, Siti Norafidah; Jang, Jiwook A multivariate jump diffusion process for counterparty risk in CDS rates. (English) Zbl 1322.91059 J. Korean Soc. Ind. Appl. Math. 19, No. 1, 23-45 (2015). MSC: 91G70 91G20 91G40 60G55 60J75 60G10 60G44 91B30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Lixin CVA and FVA to derivatives trades collateralized by cash. (English) Zbl 1337.91126 Int. J. Theor. Appl. Finance 18, No. 5, Article ID 1550035, 22 p. (2015). MSC: 91G40 91G20 60H15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liang, Xue; Wang, Guojing; Li, Hong Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching. (English) Zbl 1410.91473 Appl. Math. Comput. 230, 290-302 (2014). MSC: 91G40 91G70 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Xue; Dong, Yinghui A Markov chain copula model for credit default swaps with bilateral counterparty risk. (English) Zbl 06599064 Commun. Stat., Theory Methods 43, No. 3, 498-514 (2014). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Yajuan The pricing of credit securities with counterparty risk using a contagion model. (English) Zbl 1313.91181 Chin. J. Appl. Probab. Stat. 30, No. 2, 113-128 (2014). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Cai, Jun; Lemieux, Christiane; Liu, Fangda Optimal reinsurance with regulatory initial capital and default risk. (English) Zbl 1304.91094 Insur. Math. Econ. 57, 13-24 (2014). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Frey, Rüdiger; Rösler, Lars Contagion effects and collateralized credit value adjustments for credit default swaps. (English) Zbl 1309.91144 Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450044, 29 p. (2014). Reviewer: George Stoica (Saint John) MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. (English) Zbl 1307.91186 Stochastic Anal. Appl. 32, No. 4, 687-710 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 60J27 91G20 60G55 60H30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Chang, Chia-Chien Valuation of mortgage insurance contracts with counterparty default risk: reduced-form approach. (English) Zbl 1290.91078 Astin Bull. 44, No. 2, 303-334 (2014). MSC: 91B30 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. (English) Zbl 1285.91137 Math. Finance 24, No. 1, 125-146 (2014). MSC: 91G40 91G20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI Link
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng Unilateral counterparty risk valuation of CDS using a regime-switching intensity model. (English) Zbl 1287.91138 Stat. Probab. Lett. 85, 25-35 (2014). MSC: 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun Optimal reinsurance in the presence of counterparty default risk. (English) Zbl 1290.91074 Insur. Math. Econ. 53, No. 3, 690-697 (2013). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Grbac, Zorana; Papapantoleon, Antonis A tractable LIBOR model with default risk. (English) Zbl 1269.91093 Math. Financ. Econ. 7, No. 2, 203-227 (2013). MSC: 91G40 91G30 60G44 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Hui A note on the double impact on CVA for CDS: wrong-way risk with stochastic recovery. (English) Zbl 1269.91087 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350013, 14 p. (2013). MSC: 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; Papatheodorou, Vasileios Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk. (English) Zbl 1266.91114 Int. J. Theor. Appl. Finance 16, No. 2, Article ID 1350007, 16 p. (2013). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Petersen, M. A.; Mulaudzi, M. P.; Mukuddem-Petersen, J.; Schoeman, I. M.; De Waal, B. Stochastic control of credit default insurance for subprime residential mortgage-backed securities. (English) Zbl 1301.93174 Optim. Control Appl. Methods 33, No. 4, 375-400 (2012). MSC: 93E20 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Xue; Wang, Guojing A reduced model with thinning-dependence structure. (Chinese. English summary) Zbl 1289.91185 Chin. J. Appl. Probab. Stat. 28, No. 6, 655-664 (2012). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF
Dong, Yinghui; Liang, Xue; Wang, Guojing Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. (English) Zbl 1282.91358 Asia-Pac. Financ. Mark. 19, No. 4, 391-415 (2012). MSC: 91G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Jiao, Ying; Pham, Huyên Optimal investment with counterparty risk: a default-density model approach. (English) Zbl 1303.91159 Finance Stoch. 15, No. 4, 725-753 (2011). MSC: 91G10 91G20 60H30 60J75 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tang, Dan; Wang, Yongjin; Zhou, Yuzhen Counterparty risk for credit default swap with states related default intensity processes. (English) Zbl 1233.91290 Int. J. Theor. Appl. Finance 14, No. 8, 1335-1353 (2011). MSC: 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Braun, Alexander Pricing catastrophe swaps: a contingent claims approach. (English) Zbl 1228.91065 Insur. Math. Econ. 49, No. 3, 520-536 (2011). MSC: 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. (English) Zbl 1282.91353 Int. J. Theor. Appl. Finance 14, No. 6, 773-802 (2011). MSC: 91G30 91G40 60H30 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lin, Jianwei; Liang, Gechun; Wu, Sen; Zheng, Harry The valuation of the basket CDS in a primary-subsidiary model. (English) Zbl 1211.91237 Asia-Pac. J. Oper. Res. 28, No. 2, 213-238 (2011). MSC: 91G20 91G40 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Brigo, Damiano; Chourdakis, Kyriakos Counterparty risk for credit default swaps: impact of spread volatility and default correlation. (English) Zbl 1187.91206 Int. J. Theor. Appl. Finance 12, No. 7, 1007-1026 (2009). MSC: 91G20 91G40 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Leung, Kwai Sun; Kwok, Yue Kuen Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. (English) Zbl 1187.91222 Asia-Pac. Financ. Mark. 16, No. 3, 169-181 (2009). MSC: 91G40 60J10 60G55 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Li; Filipović, Damir Credit derivatives in an affine framework. (English) Zbl 1151.91489 Asia-Pac. Financ. Mark. 14, No. 1-2, 123-140 (2007). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Esteghamat, Kian A boundary crossing model of counterparty risk. (English) Zbl 1178.91064 J. Econ. Dyn. Control 27, No. 10, 1771-1799 (2003). MSC: 91B25 91G20 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Ammann, Manuel Credit risk valuation. Methods, models, and applications. 2nd ed. (English) Zbl 0983.91028 Springer Finance. Berlin: Springer. x, 255 p. (2001). Reviewer: Bogdan Choczewski (Kraków) MSC: 91-02 91G40 60G44 60H30 62P05 × Cite Format Result Cite Review PDF