COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES

DOI10.1142/S0219024912500392zbMath1262.91140OpenAlexW2089684845MaRDI QIDQ4649502

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

zbMATH Keywords

credit valuation adjustmentbivariate exponential distributionszero coupon bondbilateral CVAcloseoutdebit valuation adjustmentequity forward contractGumbel bivariate exponential distributionssimplified bilateral CVAunilateral CVA

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (9)

Pricing derivatives with counterparty risk and collateralization: a fixed point approach ⋮ CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ Integrated structural approach to credit value adjustment ⋮ CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK ⋮ BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS ⋮ Nonlinearity Valuation Adjustment ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS

Cites Work

• Inference procedures for a bivariate exponential model of Gumbel based on life test of component and system
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Credit risk: Modelling, valuation and hedging

This page was built for publication: COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES