ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS

DOI10.1142/S0219024911006759zbMath1282.91353arXiv0911.3331OpenAlexW2000808217MaRDI QIDQ3100990

Andrea Pallavicini, Damiano Brigo, Vasileios Papatheodorou

Publication date: 22 November 2011

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

Full work available at URL: https://arxiv.org/abs/0911.3331

zbMATH Keywords

copula functionsdefault correlationcounterparty riskcredit valuation adjustmentstochastic intensityshort rate modelsinterest rate swapsinterest rate derivativeswrong way riskarbitrage-free credit valuation adjustmentbilateral riskcredit spread volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (16)

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Cites Work

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• Collateralized borrowing and increasing risk
• Interest rate models -- theory and practice. With smile, inflation and credit
• On some filtering problems arising in mathematical finance
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Pricing and trading credit default swaps in a hazard process model
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

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