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Counterparty Risk and Funding : A Tale of Two Puzzles

Crépey, Stéphane; Bielecki, Tomasz R.; Brigo, Damiano - 2020 - First edition.

Persistent link: https://www.econbiz.de/10015068875

A dynamic model of central counterparty risk

Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10011970904

A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time

Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin - In: Mathematics of operations research 43 (2018) 1, pp. 204-221

Persistent link: https://www.econbiz.de/10011818748

Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection

Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012650186

Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268

Persistent link: https://www.econbiz.de/10014423851

Markov Chain Models of Portfolio Credit Risk

Bielelcki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives. 2012

Persistent link: https://www.econbiz.de/10012882005

Duffie, D., and Singleton, K. J.: Credit Risk: Pricing, Measurement and Management.

Bielecki, T. R. - In: Journal of Economics 81 (2004) 1, pp. 84-87

Persistent link: https://www.econbiz.de/10005810056

VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL

BIELECKI, T. R.; CRÉPEY, S.; JEANBLANC, M.; ZARGARI, B. - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1250004-1

A Markov model is constructed for studying the counterparty risk in a CDS contract. The "wrong-way risk" in this model is accounted for by the possibility of the common default of the reference name and of the counterparty. A dynamic copula property as well as affine model specifications make...

Persistent link: https://www.econbiz.de/10009651588

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of Derivatives Research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10008926017

Pricing basket default swaps in a tractable shot noise model

Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten - In: Statistics & Probability Letters 81 (2011) 8, pp. 1196-1207

We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common latent factor. The arrival of the jumps is driven by a Poisson process. By using conditional...

Persistent link: https://www.econbiz.de/10009143273