Counterparty Credit Risk : The new challenge for global financial markets

178 citations recorded by the source corpus.

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Counterparty Credit Risk and the Credit Default Swap Market (2012, methodology): “Gregory (2010) provides an excellent summary of the literature and discusses a number of the modeling approaches that have been applied to the problem of valuing counterparty credit risk.”
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2015, background): “Interaction between the pricing, the hedging and the funding problems, has become a major topic of concern for practitioners, reflected for instance in Piterbarg (2010), Morini and Prampolini (2010), (Burgard and Kjaer 2011a; Burgard and Kjaer 2011b) or Castagna (2011).”
Credit Default Swaps: A Survey (2014, background): “22For a thorough discussion on counterparty risk, see Gregory [2010].”