Credit value adjustment for credit default swaps via the structural default model

By D. Hunter. 2009

106 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/72cfc318de32ecf918ae673e160c0ec0075186a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. St'ephane Cr'epey
2. Damiano Brigo
3. Tomasz R. Bielecki
4. Agostino Capponi
5. Andrea Pallavicini
6. Monique Jeanblanc
7. Rüdiger Frey
8. Peter A. Forsyth

Citations in the corpus

• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014, unknown): “A structural model with jumps for computing CVA on CDS has been introduced by Lipton and Sepp (2009).”
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “The following is a partial list of works studying it: • Huge and Lando (1999) propose a rating-based approach, • Hull and White (2001) use a static Gaussian copula model, • Jarrow and Yu (2001) use an intensity contagion model, further considered in Leung and Kwok (2005), • Brigo and Chourdakis (200”