75 citations · 189 across the 10 of their papers we have counts for
5 papers · 1 filter
A Framework for Waterfall Pricing Using Simulation-Based Uncertainty Modeling
Nicola Jean, Giacomo Le Pera, Lorenzo Giada +1
We present a novel framework for pricing waterfall structures by simulating the uncertainty of the cashflow generated by the underlying assets in terms of value, time, and confiden…
A Simple Factoring Pricing Model
Ilaria Nava, Davide Cuccio, Lorenzo Giada +1
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together…
A note on replicating a CDS through a repo and an asset swap
Lorenzo Giada, Claudio Nordio
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is…
Funded Bilateral Valuation Adjustment
Lorenzo Giada, Claudio Nordio
We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the de…
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
Lorenzo Giada, Claudio Nordio
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such…