Crépey, Stéphane; Bielecki, Tomasz R. - 2014
Preface Introduction The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form … analyzed from the bilateral perspective: not only CVA needs to be accounted for, but also debt valuation adjustment (DVA), so … bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt …