BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

By St'ephane Cr'epey. 2015

151 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ea1ed345d4bd919b25b550c4c730597c881a4515

How researchers see this paper

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

In Finance

1. St'ephane Cr'epey
2. Damiano Brigo
3. Andrea Pallavicini
4. Tomasz R. Bielecki
5. Massimo Morini
6. Agostino Capponi
7. Monique Jeanblanc
8. Daniel Sevcovic

In Management Science and Operations Research

1. Damiano Brigo
2. Tomasz R. Bielecki
3. Andrea Pallavicini
4. St'ephane Cr'epey

Citations in the corpus

• Arbitrage‐free XVA (2016, unknown): “Crépey (2015a, 2015b) introduce a BSDE approach for the valuation of counterparty credit risk taking funding constraints into account.”
• Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013, background): “Q: Some examples? A: The working paper [47], then published in [48] and [49], is the most comprehensive treatment I have seen so far.”
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, methodology): “Bibliographic Guidelines Here are the main sources for this book: • for Part I: Crépey and Douady (2013a,2013b) (Chapter 2); the Galilean dialogue in Chapter 1 is essentially original material renewing the Platonic dialogue of Brigo, Morini, and Pallavicini (2013); • for Part II: Bielecki and Crépey”