These are all the papers that have the " 91G20 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki of Illinois Institute of Technology,
Igor Cialenco of Illinois Institute of Technology, and
Ismail Iyigunler of Illinois Institute of Technology
(310K PDF) -- 30 pages -- March 2013 Collateral-Enhanced Default Risk
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(2434K PDF) -- 12 pages -- February 19, 2013 Will Central Counterparties become the New Rating Agencies?
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(86K PDF) -- 6 pages -- November 28, 2012 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo of King's College London,
Cristin Buescu of King's College London,
Andrea Pallavicini of Banca IMI, and
Qing Liu of King's College London
(119K PDF) -- 8 pages -- July 17, 2012 Structural Credit Risk using Time-changed Brownian Motions: A tale of two models
by Tom R. Hurd of McMaster University, and
Zhuowei Zhou of McMaster University
(848K PDF) -- 23 pages -- September 13, 2011
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