BRIGO, DAMIANO; CHOURDAKIS, KYRIAKOS - In: International Journal of Theoretical and Applied … 12 (2009) 07, pp. 1007-1026
taken into account in earlier approaches, we also model credit spread volatility. Stochastic intensity models are adopted … credit spread volatility have a relevant impact on the positive counterparty-risk credit valuation adjustment to be … subtracted from the counterparty-risk free price. We analyze the pattern of such impacts as correlation and volatility change …