Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong - Volkswirtschaftliche Fakultät, … - 2010
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...
