Positive XVAs

Article Properties
  • DOI (url)
    10.3934/fmf.2022003
  • Publication Date
    2022/01/01
  • Journal
    Frontiers of Mathematical Finance
  • Indian UGC (journal)
  • Refrences
    28
  • Citations
    2
  • Stéphane Crépey Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Sorbonne Université et Université Paris Cité, CNRS UMR 8001, France
Abstract
Cite
Crépey, Stéphane. “Positive XVAs”. Frontiers of Mathematical Finance, vol. 1, no. 3, 2022, p. 425, https://doi.org/10.3934/fmf.2022003.
Crépey, S. (2022). Positive XVAs. Frontiers of Mathematical Finance, 1(3), 425. https://doi.org/10.3934/fmf.2022003
Crépey, Stéphane. “Positive XVAs”. Frontiers of Mathematical Finance 1, no. 3 (2022): 425. https://doi.org/10.3934/fmf.2022003.
Crépey S. Positive XVAs. Frontiers of Mathematical Finance. 2022;1(3):425.
Refrences
Title Journal Journal Categories Citations Publication Date
10.1137/15M1028170
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration Stochastics
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 48 2015
10.1142/S2424786315500115
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

 Mathematical Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 96 2012
10.1137/19M1242781
Citations
Title Journal Journal Categories Citations Publication Date
Quantitative reverse stress testing, bottom up Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
Pathwise CVA regressions with oversimulated defaults

 Mathematical Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1 2022
Citations Analysis
Category Category Repetition
Social Sciences: Finance2
Social Sciences: Economic theory. Demography: Economics as a science2
Social Sciences: Statistics2
Science: Mathematics2
Social Sciences: Commerce: Business2
The category Social Sciences: Finance 2 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Pathwise CVA regressions with oversimulated defaults and was published in 2022. The most recent citation comes from a 2023 study titled Quantitative reverse stress testing, bottom up. This article reached its peak citation in 2023, with 1 citations. It has been cited in 2 different journals. Among related journals, the Quantitative Finance cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year