6 citations · 12 across the 9 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
q-fin.RM2012★ 2 cited
Counterparty Risk and Funding: The Four Wings of the TVA
Stéphane Crépey, Rémi Gerboud, Zorana Grbac +1
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustm…
q-fin.PR2012
A tractable LIBOR model with default risk
Zorana Grbac, Antonis Papapantoleon
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces posit…