After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world in...

After Lehman defaulted (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world...

Following the previous works of Kamtchueng, we explain in more details, how to use the CVA Implied Volatility considering at the same time the netting arbitrage between a derivative and its hedging portfolio. Trough concrete pricing examples, we will demonstrate the advantages and the limitation...