ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS

57 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

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 BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014, background): “If we remove collateralization (Ct = 0 for any t) and we consider a risk-free investor (τ0 → ∞), we recover the classice result of Canabarro and Duffie (2004), see also Brigo and Masetti (2005) for interest rate swaps with netting and Brigo and Pallavicini (2007) for interest rate swaps with wrong w”
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013, background): “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 ”