ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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Central clearing of OTC derivatives: Bilateral vs multilateral netting (2013, background): “[3] and [8] both show that even in the extreme case of continuously collateralized CDS contracts, counterparty risk is present, e.”
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013, methodology): “In the following works [33], [19], and [20] several other features of bilateral risk are carefully examined, also in relationship with wrong way risk, collateral and extreme contagion, and gap risk, showing up when default happens between margining dates and a relevant mark to market change for the ”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “In Brigo, Pallavicini, and Papatheodorou (2011), Brigo, Capponi, and Pallavicini (2014) and Brigo, Capponi, Pallavicini, and Papatheodorou (2011) other aspects of bilateral risk are carefully examined, also in relationship with wrong-way risk, collateral and extreme contagion and gap risk.”
Arbitrage‐free XVA (2016, unknown): “Brigo and Pallavicini (2014) and Pallavicini, Perini, and Brigo (2012) derive a risk-neutral pricing formula by taking into account counterparty credit risk, funding, and collateral servicing costs, and provide the corresponding BSDE representation. Piterbarg (2010) derives a closed-form solution fo”