6 citations · 15 across the 10 of their papers we have counts for
4 papers · 1 filter
Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
Juan Jose Francisco Miguelez, Cristin Buescu
We study the problem of valuing and hedging a vulnerable derivative claim with bilateral cash flows between two counterparties in the presence of asymmetric funding costs, defaults…
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…
Funding, repo and credit inclusive valuation as modified option pricing
Damiano Brigo, Cristin Buescu, Marek Rutkowski
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustm…
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…