Fetching the paper…
Reading the bibliography…
In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk.
Credit Risk: Modeling, Valuation and Hedging
T. Bielecki and M. Rutkowski · 2002
Earlier work this paper cites.
Risk neutral pricing of counterparty risk
D. Brigo and M. Masetti · 2005
Earlier work this paper cites.
Counterparty risk in derivatives and collateral policies: the replicating portfolio approach
U. Cherubini · 2005
Earlier work this paper cites.
Counterparty risk under correlation between default and interest rates
D. Brigo and A. Pallavicini · 2007
Earlier work this paper cites.
Accurate counterparty risk valuation for energy-commodities swaps
D. Brigo and I. Bakkar · 2009
Earlier work this paper cites.
Counterparty risk for credit default swaps: Impact of spread volatility and default correlation
D. Brigo and K. Chourdakis · 2009
Earlier work this paper cites.
Market liquidity and funding liquidity
M. Brunnermeier and L. Pedersen · 2009
Earlier work this paper cites.
Being two faced over counterparty credit risk
J.K Gregory · 2009
Earlier work this paper cites.
ISDA close-out amount protocol
ISDA · 2009
Cited alongside, same era.
The isda master agreement and csa: Close-out weaknesses exposed in the banking crisis and suggestions for change
E. Parker and A. McGarry · 2009
Cited alongside, same era.
Market practices for settling derivatives in bankruptcy
P. Weeber and E.S. Robson · 2009
Cited alongside, same era.
Bilateral counterparty risk with application to CDSs
D. Brigo and A. Capponi · 2010
Cited alongside, same era.
Rethinking counterparty default
D. Brigo and M. Morini · 2010
Cited alongside, same era.
Funding liquidity risk defintion and measurement
M. Drehmann and K. Nikolaou · 2010
Cited alongside, same era.
Counterparty risk evaluation for interest rate derivatives
A. Pallavicini · 2010
Later among the works it cites.
Funding beyond discounting: collateral agreements and derivatives pricing
V. Piterbarg · 2010
Later among the works it cites.
Counterparty risk FAQ: Credit VaR, PFE, CVA, DVA, closeout, netting, collateral, re-hypothecation, WWR, basel, funding, CCDS and margin lending
D. Brigo · 2011
Closest in time.
Dangers of bilateral counterparty risk: the fundamental impact of closeout conventions
D. Brigo and M. Morini · 2011
Closest in time.
In the balance
C. Burgard and M. Kjaer · 2011
Closest in time.
Funding, liquidity, credit and counterparty risk: Links and implications
A. Castagna · 2011
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Discounting revisited: Valuation under funding, counterparty risk and collateralization
C. Fries · 2010
Cited alongside, same era.
Collateral posting and choice of collateral currency
M. Fujii, Y. Shimada, and A. Takahashi · 2010
Cited alongside, same era.
Impact of the first to default time on bilateral cva
D. Brigo, C. Buescu, and M. Morini
Cited in the paper.
Arbitrage-free bilateral counterparty risk valuation under collateralization and re-hypothecation with application to cds
D. Brigo, A. Capponi, and A. Pallavicini
Cited in the paper.
Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting
D. Brigo, A. Capponi, A. Pallavicini, and V. Papatheodorou
Cited in the paper.
Equity return swap valuation under counterparty risk
D. Brigo, M. Morini, and M. Tarenghi
Cited in the paper.
A bsde approach to counterparty risk under funding constraints
S. Crépey · 2011
Closest in time.
Risky funding: A unified framework for counterparty and liquidity charges
M. Morini and A. Prampolini · 2011
Closest in time.