Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation

Coupling Index and Stocks

Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk

Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model

Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model

Credit derivatives pricing with default density term structure modelled by Lévy random fields

Credit models and the crisis, or: how I learned to stop worrying and love the CDOs

Credit risk modeling using time-changed Brownian motion

Credit risk premia and quadratic BSDEs with a single jump

Credit Risk, Market Sentiment and Randomly-Timed Default

Critical Analysis of the Binomial-Tree approach to Convertible Bonds in the framework of Tsiveriotis-Fernandes model

Cumulant Expansion and Monthly Sum Derivative

Dam Rain and Cumulative Gain

Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions

Default and Systemic Risk in Equilibrium

Default correlation, cluster dynamics and single names: The GPCL dynamical loss model

Default Swap Games Driven by Spectrally Negative Levy Processes

Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures

Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis