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Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Brigo, Damiano - 2011

This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA...

Persistent link: https://www.econbiz.de/10013131259

Funding Valuation Adjustment : A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation

Pallavicini, Andrea - 2012

In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counter …-hypothecation liquidity risk and close-out amount evaluation issues are also covered. We define a comprehensive pricing framework which allows … hypotheses. Our main result is a bilateral collateralized counter-party valuation adjusted pricing equation, which allows to …

Persistent link: https://www.econbiz.de/10013113369

Funding, Collateral and Hedging : Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments

Pallavicini, Andrea - 2012

The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to … can cast the pricing equation into a set of iterative relationships which can be solved by means of standard least … special cases. We derive the general pricing equation by resorting to a risk-neutral approach where the new types of risks are …

Persistent link: https://www.econbiz.de/10013099370

Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting

Brigo, Damiano - 2012

agreements and derivatives pricing" (Risk Magazine, February 2010) and "Partial Differential Equation Representations of …

Persistent link: https://www.econbiz.de/10013103949

Interest-Rate Modelling in Collateralized Markets : Multiple Curves, Credit-Liquidity Effects, CCPs

Pallavicini, Andrea - 2013

for pricing under credit, collateral and funding risks into term structure modelling, integrating the origination of …

Persistent link: https://www.econbiz.de/10013083897

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ : Re-Hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Di...

Brigo, Damiano - 2013

We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs. This framework is important following the fact that derivatives valuation and risk analysis has moved from...

Persistent link: https://www.econbiz.de/10013072290

Bilateral Counterparty Risk Valuation for Interest-Rate Products : Impact of Volatilities and Correlations

Brigo, Damiano - 2010

The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so, we summarize the general arbitrage-free valuation framework for counterparty risk adjustments in presence of...

Persistent link: https://www.econbiz.de/10013150257

Pricing commodity swing options

Daluiso, Roberto - 2020

In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and...

Persistent link: https://www.econbiz.de/10012843233

Default Correlation, Cluster Dynamics and Single Names : The GPCL Dynamical Loss Model

Brigo, Damiano - 2007

We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account consistently for single name default dynamics, cluster default dynamics and default counting process. This approach...

Persistent link: https://www.econbiz.de/10012731183

Implied Expected Tranched Loss Surface from CDO Data

Torresetti, Roberto - 2007

We explain how the payoffs of credit indices and tranches are valued in terms of expected tranched losses (ETL). ETL are natural quantities to imply from market data. No-arbitrage constraints on ETL's as attachment points and maturities change are introduced briefy. As an alternative to the...

Persistent link: https://www.econbiz.de/10012731474