Counterparty risk pricing: impact of closeout and first-to-default times

DOI10.1142/S0219024912500392MaRDI QIDQ4649502zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credit valuation adjustmentbivariate exponential distributionszero coupon bondbilateral CVAcloseoutdebit valuation adjustmentequity forward contractGumbel bivariate exponential distributionssimplified bilateral CVAunilateral CVA

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• 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
• Bilateral counterparty risk under funding constraints. II: CVA
• Counterparty risk and funding: the four wings of the TVA
• Pricing credit default swaps with bilateral value adjustments

Cites work

• Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Credit risk: Modelling, valuation and hedging
• Inference procedures for a bivariate exponential model of Gumbel based on life test of component and system

Cited in

(11)

• Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
• 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
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Algorithmic counterparty credit exposure for multi-asset Bermudan options
• Valuation and hedging of contracts with funding costs and collateralization
• Progressive enlargements of filtrations with pseudo-honest times

This page was built for publication: Counterparty risk pricing: impact of closeout and first-to-default times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4649502)