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Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

https://doi.org/10.1142/s2345768615500014

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118673638openalex-snapshot

Counterparty Credit Risk and Credit Value Adjustment

inferredcites →https://doi.org/10.1002/9781118818589openalex-snapshot

Counterparty Credit Risk, Collateral and Funding

inferredcites →https://doi.org/10.1016/s1042-9573(03)00040-8openalex-snapshot

A risk-factor model foundation for ratings-based bank capital rules

inferredcites →https://doi.org/10.1163/ej.9789004163300.i-1081.238openalex-snapshot

Basel Committee On Banking Supervision

inferredcites →https://doi.org/10.1163/ej.9789004163300.i-1081.293openalex-snapshot

International Accounting Standards Board

inferredcites →https://doi.org/10.21314/jrmv.2010.050openalex-snapshot

Effective modeling of wrong way risk, counterparty credit risk capital and alpha in Basel II

inferredcites →https://doi.org/10.2469/faj.v68.n5.6openalex-snapshot

CVA and Wrong-Way Risk

inferredcites →https://doi.org/10.69554/vhpg1049openalex-snapshot

CVA the wrong way

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3547866openalex-extracted

Model Independent WWR for Regulatory CVA and for Accounting CVA and FVA

inferred← citeshttps://doi.org/10.1007/s10479-023-05289-3openalex-snapshot

Extending the Merton model with applications to credit value adjustment

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