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Evaluating the credit exposure of interest rate derivatives under the real-world measure

Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95

Persistent link: https://www.econbiz.de/10011992271

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

A copula approach to credit valuation adjustment for swaps under wrong-way risk

C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43

Persistent link: https://www.econbiz.de/10011885459

Hedging interest rate risk in high-yield bonds

Rudin, Alexander - In: Derivatives Applications in Asset Management : From …, (pp. 377-383). 2025

Persistent link: https://www.econbiz.de/10015434680

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Brigo, Damiano; Pallavicini, Andrea - In: Journal of financial engineering 1 (2014) 1, pp. 1-60

Persistent link: https://www.econbiz.de/10010508128

Interest Rate Dynamics, Derivatives Pricing, and Risk Management

Chen, Lin - 1996

This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility … derivatives and to formulate risk management scheme. The model is potentially useful for practical purposes such as pricing bonds …

Persistent link: https://www.econbiz.de/10013519057