Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Damiano Brigo; Andrea Pallavicini
| Year of publication: |
2014
|
|---|---|
| Authors: | Brigo, Damiano ; Pallavicini, Andrea |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 1, p. 1-60
|
| Subject: | Central 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 | Kreditrisiko | Credit risk | Derivat | Derivative | Theorie | Theory | Kreditsicherung | Collateral | Finanzmarktregulierung | Financial market regulation | Risiko | Risk | Risikomanagement | Risk management | Zinsderivat | Interest rate derivative |
| Extent: | Ill., graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010508128