We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing default correlation through a common jump...

<Para ID="Par1">We obtain an explicit expression for the price of a vulnerable claim written on a stock whose predefault dynamics follows a Lévy-driven SDE. The stock jumps to zero at default with a hazard rate given by a negative power of the stock price. We recover the characteristic function of the terminal...</para>