26 citations · 157 across the 57 of their papers we have counts for
Showing 2011 · q-fin.PRShow all
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q-fin.PR2011★ 7 cited
Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
Andrea Pallavicini, Daniele Perini, Damiano Brigo
In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we inclu…
q-fin.PR2011
Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
Damiano Brigo
We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure…
q-fin.PR2011★ 6 cited
Impact of the first to default time on Bilateral CVA
Damiano Brigo, Cristin Buescu, Massimo Morini
We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Val…