Funding, Liquidity, Credit and Counterparty Risk: Links and Implications

Recursive valuation of defaultable securities and the timing of resolution of uncertainty

Darrell Duffie, Mark Schröder, Costis Skiadas · The Annals of Applied Probability · 1996 · 247 citations · Full text

Business, Economics, Finance +17

Interest Rates and The Credit Crunch: New Formulas and Market Models

Fabio Mercurio · SSRN Electronic Journal · 2009 · 125 citations · Full text

Business, Economics, Finance +17

Being Two-Faced Over Counterparty Credit Risk

Jon Gregory · SSRN Electronic Journal · 2009 · 120 citations · Full text

Business, Finance, Risk Management +15

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Damiano Brigo, Agostino Capponi · SSRN Electronic Journal · 2009 · 104 citations · Full text

Business, Economics, Finance +17

Risky Funding: A Unified Framework for Counterparty and Liquidity Charges

Massimo Morini, Andrea Prampolini · SSRN Electronic Journal · 2010 · 71 citations · Full text

Business, Economics, Finance +15