{"id":"https://openalex.org/W2940539650","doi":"https://doi.org/10.1016/j.jfineco.2019.04.011","title":"Counterparty credit risk and derivatives pricing","display_name":"Counterparty credit risk and derivatives pricing","publication_year":2019,"publication_date":"2019-04-25","ids":{"openalex":"https://openalex.org/W2940539650","doi":"https://doi.org/10.1016/j.jfineco.2019.04.011","mag":"2940539650"},"language":"en","primary_location":{"id":"doi:10.1016/j.jfineco.2019.04.011","doi":"https://doi.org/10.1016/j.jfineco.2019.04.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jfineco.2019.04.011","pdf_url":null,"source":{"id":"https://openalex.org/S149240962","display_name":"Journal of Financial Economics","issn_l":"0304-405X","issn":["0304-405X","1879-2774"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/10397/89314","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5043519387","display_name":"Gang Li","orcid":"https://orcid.org/0000-0002-9257-6247","observed_orcids":["https://orcid.org/0000-0002-9257-6247"]},"institutions":[{"id":"https://openalex.org/I14243506","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98","country_code":"HK","type":"education","lineage":["https://openalex.org/I14243506"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Gang Li","raw_affiliation_strings":["Hong Kong Polytechnic University (HKPU), Hung Hom, Kowloon, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Hong Kong Polytechnic University (HKPU), Hung Hom, Kowloon, Hong Kong","institution_ids":["https://openalex.org/I14243506"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100734643","display_name":"Chu Zhang","orcid":"https://orcid.org/0000-0002-5469-906X","observed_orcids":["https://orcid.org/0000-0002-5469-906X"]},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Chu Zhang","raw_affiliation_strings":["Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong","institution_ids":["https://openalex.org/I200769079"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5043519387"],"corresponding_institution_ids":["https://openalex.org/I14243506"],"apc_list":{"value":1800,"currency":"USD","value_usd":1800},"apc_paid":null,"fwci":3.6365,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.9275822,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"134","issue":"3","first_page":"647","last_page":"668"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5557000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5557000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.427700012922287,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.004699999932199717,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/counterparty-credit-risk","display_name":"counterparty credit risk","score":1.0},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.8820000290870667},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.8579999804496765},{"id":"https://openalex.org/keywords/warrants","display_name":"warrants","score":0.7910000085830688},{"id":"https://openalex.org/keywords/credit-default-swap-spreads","display_name":"credit default swap spreads","score":0.8920000195503235}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.850466251373291},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.8159529566764832},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.6339606046676636},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.6079807281494141},{"id":"https://openalex.org/C2776916960","wikidata":"https://www.wikidata.org/wiki/Q637156","display_name":"Warrant","level":2,"score":0.5992527008056641},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.5645207762718201},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.5390232801437378},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.5294463634490967},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.5174925327301025},{"id":"https://openalex.org/C138170105","wikidata":"https://www.wikidata.org/wiki/Q1337949","display_name":"Issuer","level":2,"score":0.46675968170166016},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4440488815307617},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3628772795200348},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31892186403274536},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22415298223495483},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.18625009059906006}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1016/j.jfineco.2019.04.011","doi":"https://doi.org/10.1016/j.jfineco.2019.04.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jfineco.2019.04.011","pdf_url":null,"source":{"id":"https://openalex.org/S149240962","display_name":"Journal of Financial Economics","issn_l":"0304-405X","issn":["0304-405X","1879-2774"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jfinec:v:134:y:2019:i:3:p:647-668","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0304405X19301114","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/89314","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10397/89314","pdf_url":null,"source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal/Magazine Article"},{"id":"pmh:oai:repository.ust.hk:1783.1-97503","doi":null,"is_oa":false,"landing_page_url":"http://www.scopus.com/record/display.url?eid=2-s2.0-85065533441&origin=inward","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/89314","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10397/89314","pdf_url":null,"source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal/Magazine Article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321592","display_name":"Research Grants Council, University Grants Committee","ror":"https://ror.org/00djwmt25"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W1558567973","https://openalex.org/W1653259012","https://openalex.org/W1692248946","https://openalex.org/W1949840788","https://openalex.org/W1969813799","https://openalex.org/W1975256034","https://openalex.org/W1981136728","https://openalex.org/W1984376065","https://openalex.org/W2009384546","https://openalex.org/W2010227328","https://openalex.org/W2023802555","https://openalex.org/W2034241492","https://openalex.org/W2043300056","https://openalex.org/W2059126764","https://openalex.org/W2059516393","https://openalex.org/W2062756783","https://openalex.org/W2077791698","https://openalex.org/W2082317778","https://openalex.org/W2100405232","https://openalex.org/W2107711400","https://openalex.org/W2110632537","https://openalex.org/W2137871685","https://openalex.org/W2138349601","https://openalex.org/W2149318811","https://openalex.org/W2150812635","https://openalex.org/W2163191305","https://openalex.org/W2164380597","https://openalex.org/W2166536772","https://openalex.org/W2181664560","https://openalex.org/W2220827833","https://openalex.org/W2323455517","https://openalex.org/W3122832813","https://openalex.org/W3122906726","https://openalex.org/W3122911893","https://openalex.org/W3123258340","https://openalex.org/W3123931904","https://openalex.org/W3123963200","https://openalex.org/W3124151877","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W4210865252","https://openalex.org/W7046059493","https://openalex.org/W1490273889","https://openalex.org/W2019076357","https://openalex.org/W3123931904","https://openalex.org/W2355681378","https://openalex.org/W3198498573","https://openalex.org/W2794707175","https://openalex.org/W2788633996","https://openalex.org/W2273201050"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":4}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2019-05-03T00:00:00"}