Browse by Authors

1 May 2012

Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.

Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.

1 May 2013

Xiao, Tim (2013): An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk.

Xiao, Tim (2013): The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling.

21 May 2013

Xiao, Tim (2013): Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds.

18 February 2014

Xiao, Tim (2014): A Simple and Precise Method for Pricing Convertible Bond with Credit Risk. Forthcoming in: Journal of Derivatives and Hedge Funds , Vol. 19, No. 4 (8 February 2014): pp. 244-258.

1 July 2017

Xiao, Tim (2017): A New Model for Pricing Collateralized Financial Derivatives. Published in: The Journal of Derivatives , Vol. 24, No. 4 (1 July 2017): pp. 8-20.

1 March 2019

Xiao, Tim (2019): Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment.

9 March 2019

Xiao, Tim (2019): Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization.

8 May 2019

Xiao, Tim (2019): Incremental Risk Charge Methodology.

30 May 2019

Xiao, Tim (2019): Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk.

2 July 2019

Xiao, Tim (2019): The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment.