276 citations · 351 across the 11 of their papers we have counts for
Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2020★ 19 cited
XVA Analysis From the Balance Sheet
Claudio Albanese, Stephane Crepey, Rodney Hoskinson +1
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis. We root a cost-of-capital XVA strategy in a…
q-fin.RM2011
Restructuring Counterparty Credit Risk
Claudio Albanese, Damiano Brigo, Frank Oertel
We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends th…