Counterparty risk
- A Simple Model of Correlated Defaults with Application to Repo PortfoliosDariusz Gatarek and Juliusz JabłeckiThe Journal of Derivatives November 2015, 23 (2) 8-23; DOI: https://doi.org/10.3905/jod.2015.23.2.008
- Counterparty Credit Risk and American
OptionsPeter Klein and Jun YangThe Journal of Derivatives May 2013, 20 (4) 7-21; DOI: https://doi.org/10.3905/jod.2013.20.4.007 - Editor’s LetterStephen FiglewskiThe Journal of Derivatives May 2013, 20 (4) 1-2; DOI: https://doi.org/10.3905/jod.2013.20.4.001
- Structural Default Modeling: A Lattice-Based ApproachGeorge M. Jabbour, Marat V. Kramin and Stephen D. YoungThe Journal of Derivatives May 2010, 17 (4) 44-53; DOI: https://doi.org/10.3905/jod.2010.17.4.044
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