Morales, Alberto Fernández Muñoz de - Facultad de Ciencias Económicas y Empresariales, … - 2013
We analyze the effects of the financial crisis in credit valuation adjustments (CVA's). Following the arbitrage-free valuation framework presented in Brigo et al. (2009), we consider a model with stochastic Gaussian interest rates and CIR++ default intensities. Departing from previous...