Collateralized CVA Valuation with Rating Triggers and Credit Migrations
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References listed on IDEAS
- Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 28067, University Library of Munich, Germany.
- Chuang Yi, 2011. "Dangerous Knowledge: Credit Value Adjustment With Credit Triggers," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 839-865.
- Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers 1101.3926, arXiv.org.
- Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler, 2011. "Counterparty Risk and the Impact of Collateralization in CDS Contracts," Papers 1104.2625, arXiv.org, revised Aug 2011.
- Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 27782, University Library of Munich, Germany.
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- Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011. "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics 502, University of Gothenburg, Department of Economics, revised 12 Oct 2012.
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This paper has been announced in the following NEP Reports:- NEP-BAN-2012-06-05 (Banking)
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