Counterparty risk pricing: impact of closeout and first-to-default times
DOI10.1142/S0219024912500392zbMATH Open1262.91140OpenAlexW2089684845MaRDI QIDQ4649502FDOQ4649502
Massimo Morini, Cristin Buescu, Damiano Brigo
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
- 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
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 (9)
- CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK
- Integrated structural approach to credit value adjustment
- ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS
- CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- Progressive enlargements of filtrations with pseudo-honest times
- BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- Nonlinearity Valuation Adjustment
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