Counterparty credit risk pricing and measurement of swaption portfolios

2014 ◽  
Vol 18 (1) ◽  
pp. 31-64 ◽  
Author(s):  
Matt Thompson
Keyword(s):  
Credit Risk ◽  
Counterparty Credit Risk ◽  
Risk Pricing ◽  
Credit Risk Pricing

scholarly journals The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing

2020 ◽  
Author(s):  
Juan Arismendi-Zambrano ◽  
Vladimir Belitsky ◽  
Vinicius Amorim Sobreiro ◽  
Herbert Kimura
Keyword(s):  
Credit Risk ◽  
Counterparty Credit Risk ◽  
Risk Pricing ◽  
Credit Risk Pricing

The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing

2021 ◽  
pp. 100969
Author(s):  
Juan Arismendi-Zambrano ◽  
Vladimir Belitsky ◽  
Vinicius Amorim Sobreiro ◽  
Herbert Kimura
Keyword(s):  
Credit Risk ◽  
Tail Dependence ◽  
Counterparty Credit Risk ◽  
Risk Pricing ◽  
Credit Risk Pricing
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