RESTRUCTURING COUNTERPARTY CREDIT RISK

DOI10.1142/S0219024913500106zbMath1266.91113arXiv1112.1607OpenAlexW3124407695MaRDI QIDQ5299996

Damiano Brigo, Frank Oertel, Claudio Albanese

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://arxiv.org/abs/1112.1607

zbMATH Keywords

collateralcredit riskcounterparty riskcredit valuation adjustmentDVAcounterparty risk restructuringCVA restructuringmargin lending

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (6)

Calculation of credit valuation adjustment based on least square Monte Carlo methods ⋮ XVA metrics for CCP optimization ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ Credit, funding, margin, and capital valuation adjustments for bilateral portfolios ⋮ From credit valuation adjustments to credit capital commitments

Cites Work

• 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
• Credit risk: Modelling, valuation and hedging

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