4 papers
Risk-neutral valuation under differential funding costs, defaults and collateralization
Damiano Brigo, Cristin Buescu, Marco Francischello +2
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has…
An indifference approach to the cost of capital constraints: KVA and beyond
Damiano Brigo, Marco Francischello, Andrea Pallavicini
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This…
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Giacomo Bormetti, Damiano Brigo, Marco Francischello +1
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework…
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
Damiano Brigo, Marco Francischello, Andrea Pallavicini
We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take t…