Counterparty risk pricing: impact of closeout and first-to-default times
DOI10.1142/S0219024912500392zbMATH Open1262.91140OpenAlexW2089684845MaRDI QIDQ4649502FDOQ4649502
Authors: Damiano Brigo, Cristin Buescu, Massimo Morini 
Publication date: 22 November 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500392
Recommendations
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- Pricing credit default swaps with bilateral value adjustments
credit valuation adjustmentbivariate exponential distributionszero coupon bondbilateral CVAcloseoutdebit valuation adjustmentequity forward contractGumbel bivariate exponential distributionssimplified bilateral CVAunilateral CVA
Cites Work
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Credit risk: Modelling, valuation and hedging
- Counterparty risk for credit default swaps: impact of spread volatility and default correlation
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- Inference procedures for a bivariate exponential model of Gumbel based on life test of component and system
Cited In (11)
- Tight semi-model-free bounds on (bilateral) CVA
- Integrated structural approach to credit value adjustment
- Contagion effects and collateralized credit value adjustments for credit default swaps
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- CVA under alternative settlement conventions and with systemic risk
- Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
- Algorithmic counterparty credit exposure for multi-asset Bermudan options
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- Progressive enlargements of filtrations with pseudo-honest times
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
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