1. The second column shows the same adjustments in case we swap the parameters in Table 1, so that now the counterparty "2" is riskier than the reference credit of the CDS "1". The third case shows what happens if, under the original parameters again, we increase the reference credit initial level and long term mean;Tab;CR-CVA for three cases: the first column tabulates the example given in Figure 1 for the Payer case with ? 1 = 0.1 (and ? 2 = 0.1)
2. Market Models for CDS Options and Callable Floaters;D Brigo;Risk,2005
3. Constant Maturity Credit Default Swap Pricing with Market Models
4. Credit Default Swaps Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model;D Brigo;Finance and Stochastic,2005
5. A Comparison between the SSRD Model and the Market Model for CDS Options Pricing;D Brigo;International Journal of Theoretical and Applied Finance,2006