40 citations · 91 across the 18 of their papers we have counts for
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q-fin.PR2018
Robust XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by t…
q-fin.MF2018
Optimization of Fire Sales and Borrowing in Systemic Risk
Maxim Bichuch, Zachary Feinstein
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as…