Bibliographie

Créé le

05.12.2013

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Mis à jour le

18.12.2013

Brigo D. (2011) , Counterparty Risk FAQ, Dept. of Mathematics, King’s College.

Canabarro E. et Duffie D. (2003), Measuring and marking Counterparty Risk. Asset/Liabilities Management for Financial Institutions, Institutional Investors Books.

Castagna A. (2012), « Pricing of Derivatives Contracts under Collateral Agreements : Liquidity and funding Value Adjustements », Research Paper.

Dongsheng L. et Juan F. (2010), Credit Valuation and Funding Value Adjustment All Together.

Edström H. (2012), A quantitative Analysis of Liquidity and Funding Value Adjustments.

Hull J. et White A. (2012), « LIBOR vs OIS : The Derivatives Discounting Dilemma », Working Paper.

Hull J. et White A. (2012), Is FVA a Cost for Derivatives Desks?, University of Toronto.

Jon G. (2010), Counterparty Credit risk : The New Challenge for Global Financial markets, Wiley, West Sussex.

Macey G. (2011), « Pricing with Standard CSA Defined by Currency Buckets », Working Paper.

Piterbarg V. (2011), « Cooking with collateral », Risk Magazine.

Piterbarg V. (2011), « Funding beyond Discounting: Collateral Agreement and Derivatives Pricing », Risk Magazine.

Pykhtin M. et Rosen D . (2010), Pricing Counterparty Risk at the Trade Level and CVA Allocations, Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs.

À retrouver dans la revue
Banque et Stratégie Nº320