Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments

DOI10.1007/978-3-319-33446-2_12zbMath1398.91566OpenAlexW2559399330MaRDI QIDQ4689911

Damiano Brigo, Marco Francischello, Andrea Pallavicini, Giacomo Bormetti

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_12

zbMATH Keywords

collateralHJM modelbasis swapsmultiple curvesevaluation adjustments

Mathematics Subject Classification ID

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

Cites Work

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• Impact of multiple curve dynamics in credit valuation adjustments under collateralization
• A Lévy HJM multiple-curve model with application to CVA computation
• COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
• Pricing Interest-Rate-Derivative Securities
• Derivative pricing under asymmetric and imperfect collateralization and CVA
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Credit risk: Modelling, valuation and hedging

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