ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

DOI10.1111/j.1467-9965.2012.00520.xzbMath1285.91137OpenAlexW2135859161MaRDI QIDQ5411396

Andrea Pallavicini, Damiano Brigo, Agostino Capponi

Publication date: 23 April 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/18325

zbMATH Keywords

contagiondefault correlationcounterparty riskcredit default swapsstochastic intensityCVAnettingwrong way riskarbitrage-free credit valuation adjustmentcredit spread volatilitybilateral CVAcollateral marginingrehypotecation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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