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Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk
Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis
Counterparty Risk, Bilateral CVA, Collateral Management, Collateral Re-Hypothecation, Close-Out Amount, Margining Procedure, Netting Rules, Hybrid Products, Correlation, Risk Neutral Valuation, Default Risk, Interest Rate Models, Default Intensity Models
Market microstructure theory, market liquidity, market making, financial intermediation
market microstructure, market liquidity, high-frequency trading, financial intermediation
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP12245.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Financial Intermediation, market liquidity, market making, Market microstructure theory
systemic risk, financial network, interbank liabilities, majorization
Credit Default Swaps, Contagion Risk, Interacting Default Intensities, Dynamic Portfolio Optimization
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: MAFI.
dynamic portfolio optimization, credit default swaps, contagion risk, interacting default intensities
Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat
Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models
Systemic Risk, Bail-Ins, Bail-Outs, Connectivity, Financial Stability
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
Central clearing, Financial institutions, asset value dynamics
Systemic risk, mitigation strategies, clearing payments, financial networks
counterparty risk, systemic risk, default contagion, credit valuation adjustment
default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
Bilateral counterparty valuation adjustment, weak convergence, doubly stochastic processes, credit default swaps
XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment
contagion, systemic risk, default risk, equilibrium
default risk, systemic risk, equilibrium
Default risk, Hidden Markov Chain, Partial information, Filtering, Risk sensitive control
Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions
Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions
systemic risk, price linkages, network stability, deleveraging
XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions
systemic risk, credit risk, mixed equity-credit strategies, calibration
principal agent problems, optimal contracts, accident risk, moral hazard
information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB
Fixed income, self-exciting defaults, dynamic portfolio optimization, risk aversion
Over-the-counter markets, Counterparty risk, Credit default swaps, Search
Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics
clearinghouses, risk-sharing, funding costs, default waterfall
borrowing costs, credit risk, optimal investment
XVA, counterparty risk, asymmetric rates, collateralization
Systemic Risk, Policies, Counterparty Networks, Fire-Sales, Data Sharing
risk-sensitive control, cascading defaults, contagion, asset management
counterparty risk, credit default swap, default clustering
Margin requirements, central clearing, systemic risk
policies, countercyclical buffers, default resolution, interbank market, simulation
credit risk, regime‐switching models, option pricing, vulnerable claims, semimartingale representations
dynamic portfolio optimization, credit risk, regime‐switching models, utility maximization, Hamilton–Jacobi–Bellman equations
File name: MAFI.
counterparty risk, CVA, bilateral CVA, arbitrage‐free credit valuation adjustment, credit default swaps, credit spread volatility, default correlation, contagion, stochastic intensity, collateral margining, netting, rehypotecation, wrong way risk
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