65 citations · 131 across the 17 of their papers we have counts for
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math.PR2020
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
Aditi Dandapani, Philip Protter
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the su…
q-fin.MF2020★ 9 cited
Optimal Group Size in Microlending
Philip Protter, Alejandra Quintos
Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunu…