From credit valuation adjustments to credit capital commitments

DOI10.1080/14697688.2012.682607zbMath1279.91173OpenAlexW3124251779MaRDI QIDQ2869975

Dilip B. Madan

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.682607

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

Pricing American options by a Fourier transform multinomial tree in a conic market

Cites Work

• A two price theory of financial equilibrium with risk management implications
• Weighted V\@R and its properties
• Structured products equilibria in conic two price markets
• Coherent Measures of Risk
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• Coherent global market simulations and securitization measures for counterparty credit risk
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• Capital requirements, acceptable risks and profits
• TENOR SPECIFIC PRICING
• RESTRUCTURING COUNTERPARTY CREDIT RISK

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