Dariusz Gatarek

Polish Academy of Sciences

3 Maja str. 2 m 164

Warsaw, 00-391

Poland

SCHOLARLY PAPERS

4

DOWNLOADS

101

CITATIONS

3

Scholarly Papers (4)

1.

A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk

National bank of Poland Working Paper No. 150
Number of pages: 27 Posted: 13 May 2013 Last Revised: 08 Jul 2016
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 55 (369,887)

Abstract:

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default correlation, counterparty risk, reduced form models

2.

Estimating the Risk of Joint Defaults: An Application to Central Bank Collateralized Lending Operations

Number of pages: 36 Posted: 19 Aug 2015
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 43 (410,664)

Abstract:

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joint defaults, collateralized lending, residual credit risk

3.

A Nonparametric Local Volatility Model for Swaptions Smile

Journal of Computational Finance, Forthcoming
Number of pages: 28 Posted: 25 Aug 2017
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 3 (625,847)
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Abstract:

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Cheyette model, local volatility, swaptions, smile, calibration

4.

Modeling Joint Defaults in Correlation-Sensitive Instruments

Journal of Credit Risk, Vol. 12, No. 3, 2016
Number of pages: 28 Posted: 24 Aug 2016
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 0 (666,172)
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Abstract:

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default correlation, Marshall–Olkin, European Financial Stability Facility (EFSF), credit value adjustment (CVA), collateralized debt obligation (CDO)