Counterparty risk and funding: immersion and beyond

Backward Stochastic Differential Equations in Finance

Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations

Engineering, Economics, Finance +10

Hedging Contingent Claims with Constrained Portfolios

Jakša Cvitanić, Ioannis Karatzas · The Annals of Applied Probability · 1993 · 255 citations · Full text

Business, Economics, Finance +17

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

Stéphane Crépey · Mathematical Finance · 2012 · 174 citations · Full text

Business, Economics, Finance +17

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

COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

Damiano Brigo, Kyriakos Chourdakis · International Journal of Theoretical and Applied Finance · 2009 · 153 citations

Business, Economics, Finance +17