Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Darrell Duffie, Haoxiang Zhu · The Review of Asset Pricing Studies · 2011 · 519 citations

Business, Economics, Finance +14

Counterparty credit risk and the credit default swap market

Navneet Arora, Priyank Gandhi, Francis A. Longstaff · Journal of Financial Economics · 2011 · 291 citations

Business, Finance, Banking +14

Interbank Contagion at Work: Evidence from a Natural Experiment

Rajkamal Iyer, José‐Luis Peydró · Review of Financial Studies · 2010 · 263 citations

Business, Economics, Finance +12

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Darrell Duffie, Haoxiang Zhu · SSRN Electronic Journal · 2011 · 236 citations · Full text

Business, Economics, Finance +14

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

Damiano Brigo, Agostino Capponi, Andrea Pallavicini · Mathematical Finance · 2012 · 163 citations

Business, Finance, Asset Pricing +10