COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS

DOI10.1142/S021902491350009XzbMath1301.91052arXiv1205.6542MaRDI QIDQ5299995

Tomasz R. Bielecki, Ismail Iyigunler, Igor Cialenco

Publication date: 24 June 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.6542

zbMATH Keywords

counterparty riskcredit valuation adjustmentCVAadditional termination eventsbreak clausesdynamic collateralizationOTC contractsrating triggers

Mathematics Subject Classification ID

Related Items (2)

Funding, repo and credit inclusive valuation as modified option pricing ⋮ Conditional Markov chains: properties, construction and structured dependence

Cites Work

• DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS
• Study of Dependence for Some Stochastic Processes

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