PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK

DOI10.1142/S0219024913500076zbMath1266.91114OpenAlexW2070190796MaRDI QIDQ5299993

Agostino Capponi, Andrea Pallavicini, Vasileios Papatheodorou, Damiano Brigo

Publication date: 24 June 2013

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

Full work available at URL: https://doi.org/10.1142/s0219024913500076

zbMATH Keywords

collateraldefault correlationcounterparty riskcredit valuation adjustmentgap riskwrong-way riskcredit-spread volatilitymargining procedure

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (10)

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION ⋮ A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures ⋮ Integrated structural approach to credit value adjustment ⋮ Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments ⋮ A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING

Cites Work

• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Counterparty Credit Risk, Collateral and Funding

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