Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Daniel Heller & Nicholas Vause, 2012. "Collateral requirements for mandatory central clearing of over-the-counter derivatives," BIS Working Papers 373, Bank for International Settlements.
- Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany.
- Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
- Cyril Durand & Marek Rutkowski, 2013. "CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions," Papers 1307.6486, arXiv.org.
- Tomasz R. Bielecki & Marek Rutkowski, 2013. "Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1," Papers 1306.4733, arXiv.org, revised Jun 2013.
- Andrea Pallavicini & Marco Tarenghi, 2010. "Interest-Rate Modeling with Multiple Yield Curves," Papers 1006.4767, arXiv.org.
- Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
- Rama Cont & Thomas Kokholm, 2013. "Central Clearing of OTC Derivatives: bilateral vs multilateral netting," Papers 1304.5065, arXiv.org.
- Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers 1101.3926, arXiv.org.
- Manmohan Singh, 2011. "Making OTC Derivatives Safe—A Fresh Look," IMF Working Papers 11/66, International Monetary Fund.
- Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
More about this item
KeywordsCentral counterparty clearing; credit support annex; ISDA; interest rate derivatives; funding costs; bilateral counterparty risk; credit valuation adjustment; CVA; collateral modeling; initial margin; variation margin; close-out; re-hypothecation; gap risk; margin period of risk; backward stochastic differential equations; funding valuation adjustment; FVA; margin valuation adjustment; MVA;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500019. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: http://www.worldscinet.com/jfe/jfe.shtml .