Credit Risk: Modeling, Valuation And Hedging

By Tomasz R. Bielecki, Marek Rutkowski. 2004

1,197 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/e63084e498b30d93331e38e53e1791a579e5bd07

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Citations in the corpus

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014, methodology): “A general formula for bilateral counterparty risk valuation was given in Bielecki and Rutkowski (2001). The ongoing financial crisis has led the Basel Committee to revisit the guidelines for OTC derivatives transactions, moving towards a new set of rules commonly called “Basel III”, and reviewed in ”
Measuring Systematic Risk in EMU Government Yield Spreads (2003, positive): “the solution to Equation 3 has the following structure in the multi-issuer For a rigorous derivation in a general setup see Bielecki and Rutkowski (2002). For a characterization of aÆne term structure models see DuÆe and Kan (1996).”
On the conditional default probability in a regulated market: a structural approach (2011, positive): “The partial information induced as in Duffie and Lando ( 2000 ) is ℱ = (ℱ t ) t ≥0 ⊂ 𝒢, where On the other hand, following Bielecki and Rutkowski ( 2002 ), it follows that and, for every t > 0, Obviously, from ( 2.”
Modeling Credit Risk with Partial Information (2004, methodology): “Reduced form models have become important tools in the risk management of credit risk (for background references see Jarrow and Yu [10] and Bielecki and Rutkowski [1]).”
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013, background): “Q: Has this concept been there for a long time or is it recent? A: It has been there for a while, see for example [52], [9], [24].”
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (2011, methodology): “The existence of the measure Q in the previous paragraph follows from the theory of change of measures for denumerable Markov processes (see, e.g., section 11.2 in Bielecki and Rutkowski 2001).”
Modeling and Valuation of Credit Risk (2004, methodology): “Let us only mention, that the proofs of most results can be found in Bielecki and Rutkowski (2002) and Jeanblanc and Rutkowski (2000, 2001).”
Stochastic mortality under measure changes (2010, neutral): “Section 2 provides a constructive description of a stochastic mortality model rooted in the insurance literature (e.g. Norberg (1987), (1989), Steffensen (2000)) and widely used in credit-risk modeling (see Bielecki & Rutkowski (2001), and references therein).”
Regression-based algorithms for life insurance contracts with surrender guarantees (2010, positive): “1 automatically preserves its structure after the enlargement (Bielecki and Rutkowski 2001).”
AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (2008, positive): “In figure (2) we present some numerical results for payer default swaption prices for different strikes, obtained using the quasi-analytic formula developed(3).”
Pricing Vulnerable Options with Jump Clustering (2017, methodology): “For more details about the two approaches, please refer to Bielecki and Rutkowski (2013), and the references therein. affected as well.””
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “Again, swaps with bilateral default risk are dealt with in Bielecki and Rutkowski (2001), but the paper where bilateral risk is examined in detail and DVA derived is Brigo and Capponi (2008a). In that paper bilateral risk is introduced in general and then analyzed for CDS. In Brigo, Pallavicini, and”
Pricing and trading credit default swaps in a hazard process model (2008, background): “Since we now have X = 0, Z = δ and At = −κt, by virtue of (5), the ex-dividend price of such CDS contract equals, for any t ∈ [0, T ], St(κ, δ, T, τ) = 1{t<τ} ( δ̃(t, T )− κÃ(t, T )), (26) where we denote, for any t ∈ [0, T ], δ̃(t, T ) = Bt Gt EQ∗ ( 1{t<τ≤T}B−1 τ δτ ∣∣Ft ) 1This property is referre”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, background): “Point process theory also forms the basis for the intensity based approach to credit risk; see Bielecki and Rutkowski (2002). A detailed discussion of the use of point process methodology for the modelling of multivariate”