Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting-Reference-Cited by-同舟云学术

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Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Brigo Damiano,Capponi Agostino,Pallavicini Andrea,Papatheodorou Vasileios

Publisher

Elsevier BV

Reference31 articles.

1. Credit Valuation Adjustment (CVA)

2. CVA computation for counterparty risk assessment in credit portfolios;S Assefa;Recent advancements in theory and practice of credit derivatives,2009

3. Dynamic Hedging of Counterparty Exposure

4. Basel III: A global regulatory framework for more resilient banks and banking systems;Available at www.bis.org,2010

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3. Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach;Handbook of Fixed-Income Securities;2016-04-01

4. Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments;Innovations in Derivatives Markets;2016

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