2 papers
q-fin.RM2014
An initial approach to Risk Management of Funding Costs
Damiano Brigo, Cyril Durand
In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from…
q-fin.PR2013
CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions
Cyril Durand, Marek Rutkowski
We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account…