156 citations · 158 across the 12 of their papers we have counts for
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q-fin.RM2013
Restructuring the "one-way CSA" counterparty risk in a CDO
Lorenzo Giada, Claudio Nordio
We show how to restructure the counterparty risk faced by the originator of a securitization or covered bond arising from an interest rate hedging swap assisted by a "one-way" coll…
q-fin.PR2013
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…