Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding … costs, counterparty risk and/or collateralization". In this note we try to give an answer to this question. The answer …

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding … costs, counterparty risk and/or collateralization". In this note we try to give an answer to this question. The answer …

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 derivative. Therefore, modeling volatility of MtM and default …

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 derivative. Therefore, modeling volatility of MtM and default …

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 derivative. Therefore, modeling volatility of MtM and default …

emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value. Credit …This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both … unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American …

-to-default, default probability, survival probability, default correlation, and risky valuation together. It captures default risk, credit … migration, and wrong way risk simultaneously and naturally. The numerical study shows that the model implied credit spreads and …

-normally distributed aggregate endowment growth. This framework allows me to derive the equilibrium risk free rate, the expected market … developed economies from Campbell (2003, 2017) to find a median value of relative risk aversion of 1.57, and a time preference …