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  • Counterparty Credit Risk Introduction

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Tag(s):
    credit risk, counterparty credit risk, credit risk modeling, default risk
    Search term matches:
    Tag
    ... credit risk modeling ...

  • The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Article
    Tag(s):
    credit value adjustment (CVA), credit risk modeling, financial derivative valuation, collateralization, margin and netting.
    Search term matches:
    Tag
    ... credit risk modeling ...
    Full Text
    ... adjustment (CVA), credit risk modeling, financial derivative valuation, collateralization, margin ...

  • The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Article
    Tag(s):
    valuation model; credit risk modeling; collateralization; correlation, CDS.
    Search term matches:
    Tag
    ... valuation model; credit risk modeling; collateralization; correlation ...
    Full Text
    ... in the CDS market. Key Words: valuation model; credit risk modeling; collateralization; correlation ...

  • Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Article
    Tag(s):
    asset pricing, credit risk modeling, colateral, risk management, CDS
    Search term matches:
    Tag
    ... credit risk modeling ...
    Full Text
    ... into the area of credit risk modeling to capture the statistical relationship among three or more random ...

  • The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics, Qualitative research--Methodology
    Item Type:
    Article
    Tag(s):
    asset pricing, credit risk modeling, collateralization, Quantitative methods
    Search term matches:
    Title
    ... The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling ...
    Tag
    ... credit risk modeling ...
    Full Text
    ... is not equivalent to a risk-free one. Key Words: asset pricing; credit risk modeling; unilateral, bilateral ...

  • An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk

    Author(s):
    Tim Xiao (see profile)
    Date:
    2015
    Group(s):
    Business Management, Scholarly Communication
    Subject(s):
    Economics, Knowledge management, Commercial statistics
    Item Type:
    Article
    Tag(s):
    asset pricing, credit value adjustment, wrong way risk, credit risk modeling, default time approach, Business data
    Search term matches:
    Tag
    ... credit risk modeling ...
    Full Text
    ... risk, credit risk modeling, least square Monte Carlo, default time approach (DTA), default ...

Viewing item 1 to 6 (of 6 items)

  • Author
    • Tim Xiao 6X
  • Group
    • Business Management 6X
    • Scholarly Communication 1X
  • Subject
    • Qualitative research--Methodology 1X
    • Commercial statistics 1X
    • Economics 6X
    • Knowledge management 1X
    • more>>
  • Item Type
    • Article 5X
    • Presentation 1X
  • Date
    • 2020 5X
    • 2015 1X
  • File Type
    • Text 6X
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