75 citations · 189 across the 10 of their papers we have counts for
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q-fin.PR2012
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…
q-fin.PR2012
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…