most citedCredit Valuation Adjustment with Replacement Closeout: Theory and Algorithms

1 citations · 1 across the 1 of their papers we have counts for

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1 paper

q-fin.MF2022★ 1 cited

Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms

Chaofan Sun, Ken Seng Tan, Wei Wei

The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout c…