We consider the valuation and risk management of derivatives on defaultable assets such as bonds taking into account funding (FVA), cash collateral, underlying default, counterparty default (CVA) and default correlation using joint default poisson process. The framework can be considered as an...

In this paper we consider the generation of implied volatility risk scenarios, with a special focus on swaption implied volatility smile, e.g., as modeled by a displaced SABR model.The generation of implied volatility risk scenarios is much more demanding than other risk factors, like interest...

In this paper we discuss interest rate curve interpolation methods and their properties in the context of financial applications. We review the modern (multi-curve) theory of interest rate curve modeling, taking into account collateralization. Building on this solid foundation we reconsider...