Impact of multiple curve dynamics in credit valuation adjustments under collateralization

DOI10.1080/14697688.2017.1339905zbMath1400.91579arXiv1507.08779OpenAlexW3124337315MaRDI QIDQ4554408

Andrea Pallavicini, Marco Francischello, Damiano Brigo, Giacomo Bormetti

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1507.08779

zbMATH Keywords

liquidity riskbasis swapscounterparty credit riskinterest rate derivativesfunding costsyield curve dynamicsHJM frameworkcollateral modelingmultiple curve frameworkovernight rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Price impact on term structure ⋮ Multiple-group adjustment method in indirect adjustment ⋮ Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model ⋮ Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments

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