31 citations · 34 across the 3 of their papers we have counts for
3 papers
Collateralized CVA Valuation with Rating Triggers and Credit Migrations
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Spe…
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler +1
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete ti…
Counterparty Risk and the Impact of Collateralization in CDS Contracts
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and w…